GI => GO (IV) Generalized Extreme Value Distribution

GI => GO (IV) Generalized Extreme Value Distribution

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.

GI => GO (III)  Data Validation

GI => GO (III) Data Validation

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!

Garbage In => Garbage Out

Everything in trading system design starts with the raw data: GI=>GO. For my purposes at this time, I do not require live tick data nor do I require greater granularity than EOD data. To date, the best source I have found is CSI. They claim very low error rates and...