Mastering Python for Finance - Second Edition

Make sure you have the right data

Not many of us have access to tick-level data. Low-resolution tick data may miss out on detailed information. Even tick-level data may be fraught with errors. Using summary statistics, such as the mean, standard errors, maximums, minimums, and correlations, tells us a lot about the nature of the data whether we can really use it, or infer backtest parameter estimates.

When data cleaning is performed, we might ask these questions: what are things to look out for? Are values realistic and logical? How is the missing data coded?

Devise a system of reporting data and results. The use of graphs helps the human eye to visualize patterns that might come across as unexpected. Histograms might reveal an unexpected ...