Baskets and Universes

A basket is a named collection of instruments. Your universe is the set of instruments your strategy can trade at a particular time. A static basket keeps a chosen collection fixed; a historical index basket changes membership along the backtest timeline.

Backtest the S&P 500 (EQ:GSPC) with the members eligible during your chosen period, on supported date ranges. Or test a fixed portfolio using a static basket. Both use dated ticker identities and supported corporate actions.

Static Portfolios vs. Historical Universes

Selection	What it tests	Membership during the run
Individual symbols or a static basket	Your chosen portfolio	Selection stays fixed; supported identity and corporate-action events still apply.
Historical S&P 500 basket	The index’s members at the time	Eligibility changes at historical membership dates.
Historical and static baskets together	Both selections combined	Overlapping members are included once.

A static list of today’s S&P 500 stocks has no historical membership schedule, even if you give it the same name.

What Point-in-Time Membership Means

Testing only today’s members can exclude former constituents and include stocks before they joined. This selection bias can make results look stronger than the historical opportunity set supports.

For a supported historical basket, Stratifyre:

1. Finds instruments with membership periods overlapping your requested dates.
2. Applies additions and removals on their historical dates.
3. Allows new basket entries only while an instrument is a member.
4. Uses dated identities to distinguish ticker changes from unrelated securities reusing a symbol.

For example, the FB-to-META rename takes effect on June 9, 2022 under the same listing identity. An unrelated security using the ticker FB is not substituted into that history.

Leaving an index changes eligibility; it does not imply delisting, bankruptcy, or cash settlement. Existing holdings follow the run’s removal policy and applicable economic events.

Note

Here, point-in-time means dated membership and identity applied on the simulation timeline. The reference history is reconstructed dated data, not a complete archive of what was known or published at every past instant. It reduces constituent-selection bias; it does not eliminate all look-ahead, data, or strategy-design bias.

Corporate-Action Continuity

Holdings, pending orders, and cost basis need to stay aligned when securities change.

Supported cases with qualified reference coverage include:

• Splits: quantities and prices rescale while modeled cost basis is preserved. Pending orders adjust without becoming new orders.
• Ticker changes: positions, pending orders, acquisition history, and strategy state continue under the dated successor identity.
• Cash mergers: the source holding closes for the declared cash consideration.
• Stock mergers: the source converts into the declared successor shares.
• Mixed mergers: the declared cash and stock consideration are applied together.

These models use declared event terms; they do not certify every security, date, or action type. See Corporate Actions for supported models and coverage limits.

Selecting a Basket for a Backtest

1. Open the backtest panel for your strategy and choose the intended start and end dates.
2. In Instruments, use Baskets to choose an eligible historical or static basket.
3. Check availability for the exact range. Unavailable options show a reason; changing dates can change availability.
4. Run with the strategy’s saved selection or a one-off override. An override changes only that backtest.
5. Review trades and event records around membership changes, splits, renames, or settlements before interpreting the full equity curve.

Strategy preview uses one dated constituent from a qualified selection, or shows a coverage failure. Run the full backtest to evaluate the whole portfolio. See Running a Backtest for execution settings.

Saved Reference Data and Reruns

A run saves a version of its membership, identity, and corporate-action data: its reference revision. Rerunning that job keeps the original revision after reference updates. A fresh run without a saved revision uses the current published data.

This prevents a rerun from silently switching membership or action terms. When comparing results, also match the strategy version, dates, capital, seed positions, and execution settings.

Caution

A reference pin does not freeze raw price bars. Later price corrections can change results even when the saved reference revision stays fixed.

Availability and Coverage

Historical-universe access depends on your basket, dates, required identity/action coverage, and provider licensing. Supported cases have been validated; broad commercial access is still awaiting licensing approval.

• S&P 500: supported ranges are available; the full index is not certified for every date.
• Static baskets: supported when their members and required events have qualified coverage for the range.
• NASDAQ 100: Historical NASDAQ 100 (NDX) membership is unavailable. Other catalog names do not establish historical-universe support.
• Scanners and live trading: basket selection remains unavailable in these forms.

Known full-index gaps include November 27 through December 3, 2018 (AET/COL membership and identity) and August 28, 2020 (an unqualified SLG dividend share frame). A qualified individual-symbol or static-basket control does not qualify the whole index for the same dates.

Missing required coverage blocks the run. Stratifyre does not substitute today’s members or guess event terms. Check availability for your exact range; price history alone does not establish membership or action coverage.