"Beware of Low Frequency Data" by Ernest Chan скачать в хорошем качестве

"Beware of Low Frequency Data" by Ernest Chan

Talk by Ernest Chan, Managing Member, QTS Capital Management, LLC. From QuantCon NYC 2015. It is commonly believed that low frequency strategies require only low frequency data for backtesting. We will show that using low frequency data can lead to dangerously inflated backtest results even for low frequency strategies. Examples will be drawn from a closed end fund strategy, a long-short stock strategy, and a futures strategy. The slides for this presentation can be found at https://www.slideshare.net/Quantopian.... To learn more about Quantopian, visit us at: https://www.quantopian.com. Disclaimer Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice. More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian. In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.