ST Status Filters May Miss Delisting-Period Stocks in Backtests

Summary

The document reports a possible limitation in an A-share stock-screening field: setting the ST status value to zero did not keep a stock out of a copied strategy’s backtest after it moved from a special-treatment designation to a delisting-period name. The author says the stock still appeared in several trades during the following weeks and notes that other shared strategies may show the same behavior.

This is a data-quality and backtest-universe concern rather than a complete diagnosis. The document provides an example and points to related strategies, but does not establish why the field behaved this way, whether the issue is systematic, or how to correct it. Researchers should verify status-field definitions and historical timing against the platform’s underlying data before relying on this filter to exclude delisting-period securities.

Key ideas

• A zero value for an ST-status field may not reliably exclude every delisting-period stock in a backtest.
• A stock’s transition from special treatment to a delisting designation is given as an example of unexpected inclusion.
• The reported trades suggest that historical status classification and timing deserve validation.
• The document reports a suspected issue but does not establish its cause or offer a tested fix.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.