Pros and cons of considering index constituents in backtesting

[As76]

This thread is intended to continue discussion started here.

How to set up a database considering index constituents

Index membership is tested using the norgate code for it. Therefore I now realize I did not even have to look if those symbols were in the index during the time of the trade, the norgate code allready did that for me. That means the test will have less symbols in the early years. Only symbols that were allready in the index in 2000 are included in the test. Symbols that were taken over or bankrupt are not in the current S&P so they are not in the test. So the tests on the current S&P are true …