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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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