I don’t have all the details, but I suggested some of my ports for Marco’s test run and hope to see something this coming week . . . I expect it to focus on the 3-year rolling tests. It’ll be a lot easier to explain benefits after there’s something tangible to show and discuss. I prefer to discuss with reference to specific examples, or case studies, rather than in the abstract; that’s just the way my mind works.
As to the execution price “noise,” I suspect you may find it surprisingly benign (unless your result flashes an alarm, which should concern you – if there’s a problem, its better to see it in the sim then with real money). And ditto anything else that may be introduced. (I came up with the idea of introducing a factor category called alternative, where you would substitute different but also reputable definitions/formulas for ratios and see if your model is sensitive to that sort of thing. Example: Gross margin. Many data providers exclude depreciation from COGS. Compustat includes it, which I like better (and is how I learned years ago). It might be useful for you to be able to flip to an alternative valid definition like that and see if your models is sensitive to this sort of thing. Not sure how do-able it is. But it’s not a behind the scenes manipulation of data; if it can be done, it would be presented as something you’d have to go out of your way to do if you choose to do on your own.
BYW, I have no idea if Microsoft introduces noise into its military systems, but I’ve finally waved the white flag oon Mister Softie and bought a MacBook Pro and and am thrilled with it. A new era. . .