tag:blogger.com,1999:blog-676827265737181288.post1961732844238206388..comments2023-03-30T08:17:18.023+02:00Comments on Copula: Backtesting and shortfalls - survivorship biasThomas Hubenhttp://www.blogger.com/profile/11373512831975824733noreply@blogger.comBlogger2125tag:blogger.com,1999:blog-676827265737181288.post-18428405898598447712020-08-03T10:17:26.070+02:002020-08-03T10:17:26.070+02:00Now, fast forward 1,5 years - I have the very same...Now, fast forward 1,5 years - I have the very same problem with Wirecard - as this shares are (were) members of the DAX30. I know it is hard and maybe impossible to predict events like this and accomodate in your code but it is for me so critical that I will put a lot of research into this topic now. Diversification is only one solution and it is not my favorite one...Thomas Hubenhttps://www.blogger.com/profile/11373512831975824733noreply@blogger.comtag:blogger.com,1999:blog-676827265737181288.post-5953677021422163842018-11-22T09:04:16.902+01:002018-11-22T09:04:16.902+01:00I just read yesterday in a backtest just a brief d...I just read yesterday in a backtest just a brief disclaimer, that the backtest might contain survivorship bias. While the content of the blog is a great source for inspiration I believe that this is vast understatement. Given the current Steinhoff price I can clearly say that this strategy got ruined by this fraud, so if you think you don't need to take care or can safely ignore events like ENRON or STEINHOFF - remember this lines. Thomas Hubenhttps://www.blogger.com/profile/11373512831975824733noreply@blogger.com