Backtesting Pitfalls-Part 2

Outliers Outliers must be properly accounted for. If outliers are representative of the current time period, then they must be included in the backtest. If outliers are not representative of the current time period, then they may be excluded from the backtest. This distinction is particularly important because including a non-representative data point or excluding … Continue reading Backtesting Pitfalls-Part 2