A fifth of my trading universe was delisted stocks, understating every signal by half
· 19 min read
The number I did not expect was 20.5%. That is the share of my screen-eligible universe that had already delisted and fallen out of the research panel before I scored a single signal on it. The direction was the bigger surprise. Dropping those names did not flatter my backtest; it suppressed it, understating every lane's spread by a mean 19.3 bps (se 6.5) against a headline lane spread of 37.99 bps. Just over half of a result, traceable to an instrument nobody had audited.