Quality Money Management : Process Engineering and Best Practices for Systematic Trading and Investment

144 CHAPTER ◆ 1 4 Gather Historical Data 14.2.5. Economic Data Economic data, such as CPI and GDP, are key indicators and can al ...

145 Who provides the interface? How timely will the data be? When will it arrive? No data source can do everything, but the tr ...

146 CHAPTER ◆ 1 4 Gather Historical Data We recommend you buy fundamental data from a single vendor and single wholesale product ...

147 not be available and is certainly not free. Sophisticated systems often incorporate several different types of data—price, v ...

149 Develop Cleaning Algorithms Good inputs are the key to success in financial modeling, and forecasting, as well as risk manag ...

150 CHAPTER ◆ 1 5 Develop Cleaning Algorithms All data should be cleaned before use. In K|V, the product team preprocesses data ...

151 algorithms, data cleaning algorithms should be benchmarked and documented using the research and documentation methods descr ...

152 CHAPTER ◆ 1 5 Develop Cleaning Algorithms Depending on the time interval desired, the format of the data may not match up wi ...

153 adjustment file is sent out the next day, reflecting the corrected price data. This occurs regularly due to block trades, pa ...

154 CHAPTER ◆ 1 5 Develop Cleaning Algorithms The point-in-time issue also applies to fundamental data, which also may be cleane ...

155 15.1.6. Synchronizing Data Databases of the different types of data have different updating periods. Take splits, for exampl ...

156 CHAPTER ◆ 1 5 Develop Cleaning Algorithms should be in a separate table of changes. This is the loop where the database prog ...

157 Perform In-Sample/Out-of-Sample Tests A backtest is a simulation of a trading/investment strategy ’ s response to historical ...

158 CHAPTER ◆ 1 6 Perform In-Sample/Out-of-Sample Tests only in sample, it may be allocated additional resources for continued r ...

159 The goal here is to lock down and control the universe of instruments and data used for testing. The team then has to determ ...

160 CHAPTER ◆ 1 6 Perform In-Sample/Out-of-Sample Tests ● Fixed income portfolio systems. For fixed income data, indicators are ...

161 production-level code. From the manufacturing analogy, this is where the team builds the prototype production facility. To s ...

162 CHAPTER ◆ 1 6 Perform In-Sample/Out-of-Sample Tests This loop is very much a “ field of NASCAR ” loop. Statistics and mathem ...

163 16.4. Summary This step is the make or break step of the entire design process. In the step, the product team will have prod ...

165 Check Performance and Shadow Trade CHAPTER ◆ 17 In-sample and out-of-sample tests of a trading/investment system generate pe ...