When does a daily candle open and close? Daily bar boundaries in stocks, forex, and crypto
When a daily candle opens and closes in US stocks, forex, and crypto, why weekend gaps exist, and why two providers' daily bars can legitimately differ.
Category · Quant Research & Backtesting
Quant Research & Backtesting
Strategy research, backtesting harnesses, and signal construction.
Latest in Quant Research & Backtesting
Why two backtests of the same strategy disagree: the historical price data faults to check first
Five ways historical price data silently corrupts a backtest: adjustment method, venue-dependent highs and lows, gap policy, session cuts, and restated bars.
Adjusted vs unadjusted stock prices: why your backtest returns are wrong
Why backtest returns break when adjusted and unadjusted OHLCV bars get mixed, with the split and dividend factor math to fix them deterministically.
Weighted median price aggregation: why averaging venue prices fails
Why the same asset shows different prices on different venues, how naive averages get poisoned by bad feeds, and how a weighted median keeps the price honest.