3 ms·

I understand that the limited amount of data can make for some easy false positives on trading algorithms, but how relevant do you really think market movements

• kyzyl 13y ago
  I hear a lot of people talk about needing more than 10yr of data for backtesting, and this is something that is often overlooked. The driving forces behind market data are unobserved and extremely complex, so you simply can't control for all the variables. If you can control for at least most of them, then you are in a situation where more data is NOT always better. The one elephant that jumps to mind is liquidity. The mechanisms by which liquidity in the markets affect the end results are absolutely key to how your algorithm's interactions with the data will pan out. With that in mind, the methods by which we come by liquidity have dramatically transformed over the years, and market makers from >10 years ago operated in an entirely different way. That's my $0.02, anyhow. Anecdotal evidence: I have first-hard experience implementing algorithms that chugged along just fine with 10 years of data for backtesting.
  • theorique 13y ago
    Exactly. After Reg NMS and other massive regulatory changes, it's an open question as to whether the post-2007 market system is the same as it was before. You could ask the same question about many different regulatory changes, but Reg NMS is likely to be the biggest.
• Choronzon 13y ago
  Daily data from 10+ years is still relevant,intraday I have found less so,probably due to algo trading/market making reducing the time horizon of momentum based strats and the change to the one cent minimum tick size ( if we are talking about US markets)