✅ Checkpoint: Market Data and Statistics

By Anh Le

Quiz

  1. Which set lists the three inputs every testable quantitative strategy needs?
    • Data, rules, and costs
    • Costs, forecasts, and news headlines
    • Rules, leverage, and luck
    • Data, opinions, and intuition
  2. A rule says: "Buy at today's open if today's close is higher than today's open." What is the main problem with this rule?
    • It uses lookahead bias, because at the open you do not yet know the close
    • It ignores commission but nothing else
    • It is an opinion rather than a rule
    • It has no position sizing rule
  3. In yfinance, which setting returns prices already adjusted for splits and dividends?
    • progress=False
    • auto_adjust=True
    • tz_localize(None)
    • keep="last"
  4. Your cleaned price series has 6 isolated single-day holes and one 40-day stretch of missing closes. What is the correct handling?
    • Forward fill the 6 isolated days with a limit, and leave the 40-day stretch unfilled and flagged
    • Replace every missing close with zero
    • Drop all rows with missing values without counting them
    • Forward fill everything, including the 40-day stretch
  5. A price goes from 100 to 105 on day one, then from 105 to 110 on day two. What is true about the returns?
    • The two daily simple returns are equal and sum to the total simple return
    • Simple returns add across time, so the total is 10%
    • Log returns must be multiplied to get the total
    • The two daily log returns are equal and sum to ln(110/100)
  6. To annualize a daily volatility, you multiply it by the square root of ____, which is about 15.87.
  7. The gap between the price a backtest assumed and the price an order actually fills at is called ____.
  8. Describe in your own words how you would take one ticker from a raw download to a return column and a volatility number you can defend. Mention the cleaning steps, the return type you chose, and how you annualized volatility.

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