Dr Ernie Chan presents Beware of Low Frequency Data

This is a past event

33 people went

Location visible to members

Details

He's back! Abstract: 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.