More Split Data and Strategy Ideas
By Dave Mabe
Given the recent increase in reverse splits, you would think that the stocks with the most splits would be dominated by reversals, but mostly the opposite is true:
And look at EFSH - it did forward and reverse splits over this period. In fact, several stocks did this for whatever reason:
Finally, here's a list of stocks with the most dilution over the last decade. Some real winners here.
OK, so how can you find a way to profit from this knowledge?
The first thing I would do is add data points like these to your column library:
Number of splits in either direction
Number of reverse splits
Number of forward splits
Age in days since the most recent reverse split
Age in days since the most recent forward split
Total dilution factor
The easiest way to do this is to use the Massive backfill tool I released recently, and then use the .splits_applied.csv file as the source.
Then merge this data into your backtest CSV files as new columns.
This will be future-looking, but I would check the data to see how these columns affect your strategy.
If there seems to be something there, then I would go through the trouble of getting rid of the future leak.
-Dave
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