Thank you, Luke! I think you could make your job a little easier in the future via QuantConnect, which lets you algorithmically test various strategies starting from the 1980s.
Joe brought up good concerns. Another concern with this methodology is that it measures (cherry picks) across a long (mostly) bull run period. This further skews the sample.
It is difficult to get an accurate view of this strategy if only using a list of current S&P 500 stocks. Ideally, the data needs to include all stocks that have moved in and out of the index and it needs to distinguish when those changes are made. Only then can you have confidence that the list of S&P 500 stocks is truly point-in-time accurate. Otherwise you get a lot of survivorship-bias. Also need data that includes dividends and capital adjustments.
Thank you, Luke! I think you could make your job a little easier in the future via QuantConnect, which lets you algorithmically test various strategies starting from the 1980s.
Joe brought up good concerns. Another concern with this methodology is that it measures (cherry picks) across a long (mostly) bull run period. This further skews the sample.
It is difficult to get an accurate view of this strategy if only using a list of current S&P 500 stocks. Ideally, the data needs to include all stocks that have moved in and out of the index and it needs to distinguish when those changes are made. Only then can you have confidence that the list of S&P 500 stocks is truly point-in-time accurate. Otherwise you get a lot of survivorship-bias. Also need data that includes dividends and capital adjustments.