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Bad Dat a Example

Bad Dat a Example. Symbol: DD 1988. Examples of Bad Data. Failure to adjust for splits. Orders of magnitude drops, followed by offsetting orders of magnitude climbs. Database updates missing significant chunks of data/symbols. Why Bad Data is Bad.

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Bad Dat a Example

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  1. Bad Data Example • Symbol: DD • 1988

  2. Examples of Bad Data • Failure to adjust for splits. • Orders of magnitude drops, followed by offsetting orders of magnitude climbs. • Database updates missing significant chunks of data/symbols.

  3. Why Bad Data is Bad • Automated strategies may exploit bad data, then fail with real data. • You might think you’ve “discovered” something.

  4. Sanity Checks • Scan new data for ~50% drops or 200% gains (probably a split). Very rare for real data. • NaNs in DOW stocks (probably data feed bad). • Recent adjusted prices less than 0.01 • NaNs > 20 trading days?

  5. Scrubbing • Remove or repair? • Easier, more reliable to remove. • Can only repair if you have multiple sources.

  6. Summary • Good data is important. • You may discover false strategies otherwise.

  7. Next • Overview of homework 3.

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