PT  - JOURNAL ARTICLE
AU  - Thomas Neal Falkenberry
TI  - Survivorship Bias in the Development of Equity Trading Systems
AID  - 10.3905/jot.2006.628196
DP  - 2006 Mar 31
TA  - The Journal of Trading
PG  - 62--68
VI  - 1
IP  - 2
4099  - https://pm-research.com/content/1/2/62.short
4100  - https://pm-research.com/content/1/2/62.full
AB  - This article will outline the survivorship bias inherent in conducting trading system research on a universe of securities comprised of members of an index, or ranking system, where membership is based on capitalization of other proxy measures of liquidity. We will define a sample research universe and attempt to measure a portion of the survivor bias inherent in that universe. We believe five years is a representative time window across which traders are testing their strategies. As such, we will attempt to measure the bias across the five year period 12/31/98 – 12/31/03.TOPICS: Security Analysis and Valuation, in portfolio management