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Quantitative Finance · Glossary

What is Look-ahead bias, point-in-time data?

Also known as: look-ahead bias · point-in-time data

Definition 3.1 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapter 3 — Point-in-Time Data and the Biases

A backtest has look-ahead bias when a decision at time tt uses information that was not available at tt. Point-in-time data are data stored so that, for any past instant, they return exactly what was known at that instant: the values then published, the universe then listed, the identifiers then used.

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