Asset Classes

• Equities
  • Deciding on a universe to trade:
    • If mirroring an index you will need to take the index joiners and leavers into account.
    • Reduce survivorship bias
  • Handling dividends
    • Option 1 is to use total return time series which assumes dividends are directly reinvested into the same stock (easy to model).
    • Option 2 is to leave the price series alone and just credit the cash holdings with the dividend amount (provides more realistic backtest).

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