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.
Hedge Fund Specialist: Smarter allocations, better portfolios.
Don’t miss our next hedge fund article!
AUM Biggest HF Business Development CAGR Clustering Competitor Intelligence Competitor Research Continuous Contracts Correlation Covariance CPO CSI Data CTA Data Validation Dissimilarity Distance Measures Expected Loss Extreme Value Distribution Fees Form ADV Genetic Algorithms GLR Hedge Fund HF Hacks Investor Relations Managed Futures Marketing MLE Monte Carlo New Pools NFA Optimization Pareto Performance Monitoring Price Regimes Rrangling RSelenium SEC Systematic Trading Taleb TradingBlox Value Added Monthly Index VAMI Web-scraping Weibull