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A Practical Guide to ETF Trading Systems by Anthony Garner

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Back-testing: Data

The most important task a prospective rule-based investor should undertake is to back-test his proposed strategies.

In order to back-test, the investor must obtain sufficient and accurate historical data for the instruments he intends to trade.

The aims of this chapter are–

  • To emphasise the importance of obtaining historical market data going back as far as possible.
  • To show the impact of dividends on overall return and to stress the need to obtain dividend data for stock indices.
  • To explain the elements of commodity investment returns and the need to build commodity indices for back-testing.
  • To help the reader overcome some of the frustrations he will encounter and to point in the direction of possible data sources. ...

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