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?
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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).
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