Point-in-Time Data and Decision-Time Correctness foundational
A value is usable only if it was actually knowable when the strategy had to decide.
A value is usable only if it was actually knowable when the strategy had to decide.
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References
Frontiers of Real-Time Data Analysis
Dean Croushore
(2008)
Advances in Financial Machine Learning
Marcos Lopez de Prado
(2018)
— John Wiley & Sons
Survivor Bias and Mutual Fund Performance
Edwin J. Elton, Martin J. Gruber, Christopher R. Blake
(1996)
— The Review of Financial Studies