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Data Quality Improvement - 2002-2012.

Today, we shipped an update that improves the quality of our FactSet data integrations prior to 2012. We recently learned of a bug that was causing a significant number of records to get dropped in our data integrations in the period from 2002-2012. The missing records would look like NaN or None in a pipeline simulation. Today’s update makes our system pick up the vast majority of the missing records. This was a systemic issue in our data processing, so we are filling in the missing data retroactively (as opposed to us keeping a point-in-time record of the missing values). Since we are backfilling the missing data, results of backtests or pipelines that use one of our FactSet data integrations and begin prior to 2012 may change if you re-run them. The changes in results will be due to your algorithm receiving more (and more correct) data than it was previously receiving.

If you have any questions or concerns, please let us know.

Jamie

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12 responses

Was there any FactSet data available before 2004? I thought it was only prices and Morningstar?

I re ran a previous long backtest going back 2006 data and luckily had some improvements in overall performance.
I was trying to attach images but forget how its done...the path to my image is "C:\Users\James\Pictures\Screenshots\Chaos 3 - Before.png". Help!

@James: You need to post the image somewhere online, that path is local.

@Jamie, thanks. I'll give it another try.

Before:

After:

Use this, and something like Imgur for the image.

![](<insert link to image>)  

@Joakim, Thanks, mate! Been awhile, feeling rusty!

This is astonishing performance, I have never seen anything like it. Sincerest congratulations! I would greatly appreciate it if you were willing to answer just one question about this algorithm, James: is it based on price data, or on fundamentals -- or perhaps a combination of the two?
Knowing this would help me get some bearings in my attempts to produce a valid algorithm for the Quantopian competition.

@Tim Thanks. It is a combination of both Price and fundamental factors (aka quantamental).

James, I think that is literally the best equity curve I've ever seen anywhere. Great job :D

@Eugenio Thanks. If it survives current turbulent times then I'll start my own hedge fund, hehehe! You in?

@James Sure, let me find $499K somewhere, and then I think I should have my minimum $500K investment ready for you. :P