"Beware of Low Frequency Data" by Ernest Chan

Описание: 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.

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