Data practices
The data problems that bias a backtest before any strategy is run, and how each is checked.
8 notes
A Wide Panel Empties Itself Silently
Bar Timestamps, Time Zones and Daylight Saving: the Checklist Before Any Backtest
The Bid-Ask Bounce Manufactures Mean Reversion and Inflates Small-Cap Returns
Cleaning Tick Data, Step by Step
Point-in-Time Data, Revisions and Vintages
The Epps Effect: Short-Interval Correlation and Asynchronous Prices