Historical Data Ftse All share

[TheBigDog]

Hi there,

Hope you are well. I am a private trader currently testing my strategy on historical data. What I am looking for is FTSE 500 end of day price data for the last 10-15 years. Most importantly WITHOUT SURVIVORSHIP BIAS included. Is there anyone that has any adivce about where i can get this without paying a huge ammount.

thank you for your time in advance!

 

[c_steam]

You can get history from yahoo. Not 10 years though (answered with out looking) but anyway why back test that far??

Lots of VBA code out on the net to automate the import of the data. You just need a mechanism to list your tickers (exel or access would work) and write the code - I'm using access and have one data table per stock.

Your problem would be washing the data - looking for errors, and managing stock dilution events.

 

[c_steam]

Addendum - Yahoo will give you data back to Jan 1 2003. (although I only checked this on one stock)

If you have the patience you could do it manually, one stock at a time, the data will download in .csv format, you can open this straight into excel or lots of other things.

 

[jamezz34]

Yahoo will adjust the share price for splits, dividends etc. choose adj price

The Big Dog,

Ive done quite a bit of time series analysis on stock prices etc. on indices.....one thing to say is that over a 10 year period you are going to get quite a few companies drop in and out of the index as ftse rebalances the constituents quartlerly (at least in the case of the UK 100), so if you want to avoid survivorship bias you should find which companies were in the ftse 500 at time period t-10 years and then drag their share price data forward 10 years

That way the dogs will still be a part of your study even though they fell out the index e.g. 5 years ago.

To find what how the ftse constituent list has changed over time, try the ftse website. Or alternatively you can do what I did which was to call them up and ask for it.

Should be bias free now