Avoiding The Pitfalls Of Historical Data by Perry J. Kaufman
Testing a trading strategy depends on handling the data correctly. How do price shocks figure into the historical data?
On April 20, 2020, in the midst of the Covid-19 pandemic, there was an unprecedented drop in demand for oil. No one was driving, no one was flying. Figure 1 shows a plunge to negative $35/barrel. Even the exchange was unprepared to handle negative prices for a commodity ...