exchanges, but institutional brokers such as Lime Brokerage often do.

You can find historical split and dividend information on many websites, but I find that earnings.com is an excellent free resource. It not only records such historical numbers, but it shows the announced split and dividend amounts and ex-dates in the future as well, so we can anticipate such events in our automated trading software. If you are

We will discuss various ways of estimating statistical significance using the methodologies of hypothesis testing and Monte Carlo

a linear mean-reverting strategy between an exchange-traded fund (ETF) and its component stocks, or Examples 4.3 and 4.4,

“formulas that assign equal weights to all the predictors are often superior, because they are not affected by accidents of sampling”

For example, csidata.com uses only price back adjustment, but with an optional additive constant to prevent prices from going negative, while tickdata.com allows you the option of choosing price versus return back-adjustment, but there is no option for adding a constant to prevent negative prices.

Futures Continuous Contracts

In general, the more round trip trades there are in the backtest, the higher will be the statistical significance. But even if a backtest is done correctly without pitfalls and with high statistical significance, it doesn't necessarily mean that it is predictive of future returns. Regime shifts can spoil everything, and a few important historical

One reason why we prefer models with a high Sharpe ratio and short maximum drawdown duration is that this almost automatically ensures that the model will pass the cross-validation test: the only subsets where the model will fail the test are those rare drawdown periods.