Before you can start analyzing hedge funds you need to scrub the data. We look at the basics of hedge fund data hygiene. We give you some tips and tricks specific to Hedge Funds, and tell you what to watch out for.
Some additional rules to add to your managed futures price series data validation protocol.
As part of my procedure for back-testing, I validate the data before using it. One of the validation steps is to check for unusually large daily changes in the raw close. Here I explore the extreme value distribution and its role in data validation protocols for systematic trading system design.
Even the best commercially available data contains errors. You must have a data validation protocol to help you find and remove them. Remeber your analysis is only as good as your data!
Creating good data series for back-testing is critical for effective trading system design. In this post, I discuss the advantages of ratio-based continuous contracts.