Survivorship bias is supposed to flatter a backtest. A survivor-only universe deletes the names that died along the way. Every number computed on it should therefore come out looking better than the truth. That is the textbook direction — and for this board, the textbooks had it backwards.
The measurement that broke the assumption came from a 10-minute autonomous research loop. It ran the previous evening and logged the result as a measurement only: no lane, constant, module, or gate default was changed.
The loop re-screened its own universe. The survivor-only reference — a single active=true snapshot of Polygon's ticker list — had been used to type every name on all 236 point-in-time dates. That reference produced a benchmark that was too low.
Readmitting every name the gate had silently excluded moved the equal-weighted screened universe from +5.64 to +6.54 bps at k=1, and from +27.34 to +29.07 bps at k=5.
Read that table twice.
| equal-weighted screened universe | survivor-only | all names readmitted |
|---|
| k=1 | +5.64 bps | +6.54 bps |
| k=5 | +27.34 bps | +29.07 bps |
The bias did not flatter the backtest. It censored the names that made the backtest look worse. The reason is structural, not mystical: this panel never observes a delisting as a return. There is no −100% row to be spared.
Removing names did not remove disasters. It removed a type of name — and that type was exactly what the extreme-return lanes were looking for.
