Robustness Filters

General
1

Hi everyone,

Which filters or methods do you use to test the robustness of your models before going live?

Any feedback appreciated!

2

This line could be added to your universe to get a more realistic idea of how your model will perform before going live:

Min (LatestActualDays, DaysSince (Max (LatestFilingDate, LatestNewsDate))) > 3

The goal is to correct for some of the delays in updating of FactSet data for small-caps. > 3 can be changed of course, and I do not know the best number to use. It probably depends on your universe, your beliefs about FactSet data delays, and the specific features you use.

3

I made some suggestions here: Break Your Strategy: How to Stress Test Your Quantitative Models - Portfolio123 Blog