How the numbers are made

Every result on Hindsight Market is counted from market history. This page says what that history is, what was adjusted, what was assumed, and where the edges are. Each result page links to the part that applies to it.

Coverage

• Stocks: every US-listed common stock in CRSP from January 1968, plus supplemental daily histories back to January 1962 for a small number of names, plus newer listings from other sources. About 45,500 series, roughly 28,000 of which have stopped trading. The Graveyard is the 5,000 biggest of those by peak market value.
• Dead companies count. A stock that ended is in every scoreboard and rule test; nothing is dropped because it failed later (no survivorship bias). A stock that stopped trading is not necessarily a failed company: most were bought, merged or taken private, and each obituary says which where our delisting record knows.
• Market data: the S&P 500 (the Dow before it existed), gold, oil, the dollar, Treasury yields and other series, some back to the 1880s. Each Lab answer says the first year it could see for the situation asked.
• Economic data: US series (CPI, unemployment, payrolls, GDP, Fed funds and the rest) are used as first published, on the day they came out, so a situation is judged with the numbers people had that day. Euro area, UK and Japan series are revised figures with an estimated release day; answers that use them say so.

Prices, adjustments and returns

• Charts and rule tests use prices adjusted for splits and dividends (total-return adjusted), so a move across a split is a real move.
• Obituaries compare a split-adjusted high with the last trade; the peak market value is as it was on the day. "Return over the days in our data" compounds daily total returns between the first and last day we have; it does not include what holders received after the last trade (a merger payout, or nothing in a bankruptcy) and does not reach back before our first day.
• Before 2014 most dead companies have only a daily close, not an open, high and low. Those days draw as a line and are scored apart: the pattern scoreboard's headline reads real candles only, and a custom rule that reads the range (high, low, ATR and friends) skips close-only days rather than treating them as zero-range bars.
• Delisting returns are not in our copy of CRSP. A stand-in is used where one is needed and the page says so.
• Market value and shares after 2024 are estimated for some names.

The Market Lab

• A condition is true on scattered days. Days within 30 calendar days of each other form one episode, so one selloff is not counted twenty times. Outcomes are measured from the first day of each episode.
• Normal is the same move from any trading day in the same years, so a result is read against what those years did anyway.
• The range beside "how often it rose" is a Wilson 95% interval. Ten episodes is a small sample; test enough situations and one will look good by luck.
• Backtests buy at the close of the day a situation starts, hold the chosen number of days (a new start inside the hold extends it), pay the cost on every buy and sell, and earn the cash rate in between. Buy-and-hold is invested on the first day and never trades.
• Days most like today compares nine measures, each scaled by how much it moved up to the day asked about (nothing after it is used), and keeps the ten closest days at least 182 days apart, leaving out the year before the day asked.

Patterns and your rule

• Patterns are found by a published rule on every clean stock. A hit is a move in the textbook direction of more than the 0.2% round-trip cost over 5, 21 or 63 trading days. Edge is the average move in that direction beyond the stock's own drift that year, after the cost.
• Only days priced at $1 or more with $1M average daily dollar volume (or, where volume is unknown, a $25M market value) count, and never a series flagged for bad data.
• Signals on one stock overlap in time, and stocks move together, so the true sample is smaller than the count shown. Small edges are easy to lose to real trading costs.

The game

• Orders fill at the next trading day's close; you do not know that price when you place the order. Shorts pay a borrow fee each day that rises for stocks under $5 or that have fallen hard; the 2008 short-sale ban on financials is in the game.
• The market line is what $10,000 in the whole market would have done over the same days. Ranked results are replayed on the server from the list of trades; a client number that disagrees is flagged.

Report a data issue

Send the page address, the symbol or question, and what you expected to [email protected]. Corrections are noted on the page they change.