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Backtest with Fundamentals.cash_return.latest

Dear fellow researchers,

If I run a backtest on a strategy with this factor and start on 01/01/2018. Does the backtest automatically pick the value from 01.01.2018 or the latest value from 2019?

1 response

All the data exposed in backtesting is only data a user would have known about on the simulation backtest date. So yes, Fundamentals.cash_return.latest would return the value known on 1-1-2018 and NOT 2019. The backtest environment is specifically designed to avoid lookahead bias.

There are two dates associated with each piece of fundamental data - the asof_date and a timestamp. The asof_date is typically provided by the data vendor and is the end date of the quarter which the data applies. The timestamp is created by Quantopian upon collecting the data from the vendor and is used to inform Quantopian's backtest engine about when to surface the data. Data is only ever used in a backtest on and after the timestamp. There is a description of this 'point-in-time' approach in the docs https://www.quantopian.com/docs/data-reference/overview#point-in-time-data-reference

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