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u/__dog_man__ 2 days ago Data

Where are you all getting historical s&p 500 constituent lists and price data for removed/delisted names (including final payouts)?

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5 comments held Reddit says 5 on reddit ↗
  1. u/horrorpages 1 1 day ago
    Sierra Chart (Denali) via the US Equities Consoldated Tape. Some of it goes back to 1980 I believe. Delayed is free, $10 for real-time. Historical constituent list can be found virtually anywhere. There's a maintained Github out there somewhere, and Wharton has a managed list as well.
  2. u/j_lyf 1 1 day ago
    Llink?
  3. u/Fair_Cookie7527 1 1 day ago
    Norgate Data is pretty much the gold standard for point-in-time S&P 500 constituents and delisted price history. It handles survivorship bias out of the box so you don't backtest on biased lists
  4. u/[deleted] 1 1 day ago

    [removed] — already gone when the archive first saw it

  5. u/LovingAIAndStocks 1 1 day ago
    We use FMP (Financial Modeling Prep), but there's a major catch you should know about. ​They offer 30 years of data, but from our deep dives, only the last 10-15 years are truly clean. We actually ran a 'monkey test' (having an algorithm pick random stocks completely blind) and compared the baseline against the SPXEW (S&P 500 Equal Weight). ​If your random picks consistently beat the SPXEW in the 90s and early 2000s, you know the 'hidden graveyard' of delisted/bankrupt stocks is missing. That's exactly what happened with FMP's older data. The survivorship bias is real back then, and it only normalizes in their recent data. ​I actually made a video breaking down this exact monkey test and the SPXEW comparison to expose where backtesting datasets break. Happy to share the link if you want to see the visual proof, but overall, FMP is solid if you stick to the last decade.