Point in time (PIT) data for quantitative investing
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May 2024 · 5 min read

Point in Time Data


What does it mean for data to be point-in-time ?

Point-in-time within a quantitative framework means that we have full trust that the date when the quantitative data was known to the market is accurate. Only using data that is point-in-time is a critical concept as it represents, in our backtest and other signal efficacy tests, when your strategies would have had accurate information and we can therefore judge if they should be used within your overall investment portfolio.

The common industry phrase for data that is not point-in-time is lookahead. The ideal quantitative world is one in which we know, with 100% certainty, that all data (be it price, volume, fundamental, alternative data) is fully point-in-time and contains no lookahead. Unfortunately, it is nearly impossible to guarantee that with absolutely certainty no matter how careful data providers are. Sometimes it is a simple case of

  • retroactive data edits
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