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.