Author Topic: Issue date for backtesting  (Read 4857 times)


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Issue date for backtesting
« on: June 08, 2015, 06:44:57 PM »
With the impending shutdown of P2P-Picks, I've decided to go back and design my own filters for LC and Prosper using NSR.

My question: What range of issue dates do you guys use when backtesting on LC and Prosper?

My initial thought is to use 10/14/2008 (LC) and 07/15/2009 (Prosper) as the starting issue date, as those are the dates of SEC approval. Or perhaps I should choose a later date like 01/01/2010 to lessen the impact of the earlier years (the wild wild west years) of P2P.
For ending issue date, I'm torn between 07/01/2014 or 10/01/2014 to allow the younger notes to age and possibly default. Also, note that the current datasets include originations through 03/31/2015.

PS I primarily invest in 36-month notes.

Thanks in advance for any feedback.