How data is aggregated
tick interval can be day, mintue, ... etc.
Price anomaly
Stock splits
Split adjustment
Dividends
Adjusting for dividends
the close price of 2010 watched in 2012 is lower than the one watched in 2015 => due to the adjustment
Survivor bias
one common mistake is that they look at the membership of that universe as of today
then they go back in time and they use that list of stocks for their strategy
built-in bias => some stocks dies in SP500 and the current stocks in SP500 actually survives during these years!
the strategy trained without considering the survival bias => blue curve => used in real life => brown curve (lower performance)
=> eager for the survival-bias-free data => not free
Efficient Markets Hypothesis
EMH assumptions
Origin of information
3 forms of the EMH
The EMH prohibits
weak => only technical analysis can't make profit
strong => any one of three types can't make profit
Is the EMH correct? => at least from data, the strong EMH is incorrect
