Hi - Index constituents Price Data

General
1

Hi ,

How and where do i down load price data of constituents of Nifty50 . Need to ensure that survivorship bias is eliminated . As Constituents keep changing every 6 months when index keeps rebalancing. Similarly do we get PE ratio of these constituents .

2

Hi Naveen,

The historical data for Nifty50 constituents is not freely available. You will need to purchase it from authorized vendors, who will also provide reliable fundamental data. You can find the authorized vendors here. For current data, you can check the list of Nifty50 constituents directly on Nifty Indices.

For fundamental data, platforms like Tickertape, Finology, and Screener are good options for current values, but for comprehensive historical data, paid sources will be required.

Alternatively, you can build a custom solution to address survivorship bias. Here’s how:

  1. Select the Top 100 Traded Stocks: Choose the top 100 stocks traded daily based on volume*price over a specific period.
  2. Create a Universe: Combine all these top 100 stocks from different dates and create a list of unique tickers.
  3. Apply Screening: Narrow down this universe further by filtering for the top 20 or 50 stocks based on market cap or other relevant metrics.
  4. Track Strong Filters: This ensures that the selected stocks will be consistently present throughout the period, effectively eliminating survivorship bias by following a strong, volume-based filter.

Please note:

  • Yahoo Finance won’t have price data for delisted stocks, so you’ll need to manage that accordingly.
  • You may like to explore Bhavcopy data and restrictions on its usability.
  • Prices in Bhavcopy data may not be adjusted.

This approach will help you track the most consistent companies and effectively remove survivorship bias.

Let me know if you need further assistance!

3

Thanks , but can u help me with code for lets say Skewness factor analysis( one that is part of the program) .with rebalancing happening every 6months for Nifty 50, when ever there is a re balance , we take that list and loop to calculate weekly trades (basis Skewness)… so every week we take position , top 10 ( low skenewss) cover true Nifty 50 . I will look out for data in the paid services .

4

Hi Naveen,
We will evaluate this and get back to you.
Thanks,
Ajay