J E Beasley

OR-Library is a collection of test data sets for a variety of OR problems.

A full list of the test data sets available in OR-Library can be found here.

Index tracking

There are currently 8 data files.

Five of these data files are the test problems used in the paper:
"An evolutionary heuristic for the index tracking problem", 
J.E. Beasley, N. Meade and T.-J. Chang, 
European Journal of Operational Research, vol. 148, 2003, pp621-643

The test problems are the files:
indtrack1, indtrack2, ..., indtrack5

The format of these data files is:
number of stocks (N), number of time periods (T)
index value at time t (t=0,1,...,T)
for each stock i (i=1,...,N) in turn:
     stock value at time t (t=0,1,...,T)

Note here that time runs from 0 to T (i.e. there are T+1
time periods in total)

The largest file is indtrack5 of size 930Kb (approximately)
The entire set of files is of size 2.1Mb (approximately).
Three further data files, for larger test problems were added in April 2007
These have the same format as the files above and are:
indtrack6, indtrack7 and indtrack8
These three files have been used in:
Mixed-integer programming approaches for index tracking and 
enhanced indexation (N.A.Canakgoz and J.E. Beasley) 
European Journal of Operational Research vol. 196, 2009, pp384-399

Click here to access these files