Backtesting · Lesson 3.5

Look-ahead bias

Look-ahead bias happens when a backtest uses data that would not have been available at the time of the simulated decision.

Common sources

Using a fiscal year's earnings on a date before the company reported them.
Using a restated number that only became available years later.
Letting a strategy enter on the same bar a signal is computed at the close.

How FactorSage handles it

FactorSage stores fundamentals with their as-of date and only exposes data that was reported on or before each backtest day. Intrinsic values are computed from point-in-time fundamentals, not current ones.