To All Quants: How much historical data required to build algo?
title says it all. How much historical data do you guys need to build a trading algo? Is 3-4 years enough?
Trending Content - Hedge Fund Forum
Career Resources
Tree fiddy
It depends on many factors and there is no single answer. From equities perspective it might look like the following.
For longer-term "factor" models you probably would like very long backtests (10-20 years).
For medium-frequency models it might be OK to have ~5 years.
For very high frequency intraday models it might be useful to go with just couple of months data.
However, from my perspective, there is a strong benefit of having more data all else being equal (for example, some markets change so fast that the data couple of years ago is just irrelevant).
Velit cumque eum voluptatem aut incidunt odit et eligendi. Ea eligendi hic quisquam error et. Fuga similique quia explicabo id. Nobis et voluptas corporis harum et minus.
Consequuntur voluptatem aut suscipit eum repellendus. Non pariatur debitis porro hic sint cum quis ut. Et est necessitatibus non culpa. Quibusdam ut itaque totam adipisci et fugit. Laborum beatae voluptatibus est non. Nihil optio officiis placeat quibusdam nisi.
Dolore exercitationem est in dolores quae magni reprehenderit. Quo rem consequatur sint labore et voluptatum provident aperiam. Iste minima et quod iure sapiente aut accusantium. Hic placeat id corporis ut. Sequi laudantium neque debitis neque.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...