If the future data we’re being tested on is 2017-2020, and our payout uses a 30 day EMA, will we be given 30 days of data from the end of 2016 to setup so that we can start allocation on the first day of 2017? or do we only get data from the start of 2017 and thus have to wait to allocate for 30 days into 2017 (leading to potential loss in total returns)?
Thanks
Hi
That’s only an assumption; we could test your payout from 1992 to 2001 for instance. However, if you need 30 days, we’ll start 30 days prior to the test period for our testing. We only need to know this information; this is why the payout has to be correctly structured so that we know from parameters that you compute something over 30 data points.
I am wondering what are the inputs of the test? Since in the tutorial notebook, both 1. a list of tickers and 2. a payout function seems to be the input data.