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Before developing a trading strategy, one should clean and preprocess his data set. It is very common that a data set contains huge number of duplicates.

Question: How does duplicate data affect backtesting?

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  • $\begingroup$ When I was lucky enough to be able to work with high quality databases such as CRSP, Compustat, Bloomberg I never found any duplicate information. I am not sure what DB you are working with. $\endgroup$ – noob2 Aug 18 at 22:41
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    $\begingroup$ For example, Google has two TICKERS GOOG and GOOGL but they refer to the same stock. $\endgroup$ – Idonknow Aug 18 at 22:44
  • $\begingroup$ You should not use every ticker in the database (there may be unsuitable, illiquid or duplicate tickers). You should have a list of tickers you are interested in, and this list should vary every month. You could use a published index (S&P 500, Russell 3000) to make up this list or you could build our own. $\endgroup$ – noob2 Aug 19 at 1:28
  • $\begingroup$ Yes. What I mens is duplicate tickers. If this is the case, how would them affect backtest results? $\endgroup$ – Idonknow Aug 19 at 1:47
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As clarified by you in the comments, I haven't come across duplicate tickers at least not in Bloomberg or the Indian exchange websites. Example of GOOG and GOOGL mentioned in the comment, represent Alphabet Inc Class C and Alphabet Inc Class A respectively. Class A shareholders enjoy voting rights whereas Class C shareholders don't (see here).

Hence there is a slight difference in their price series.

Ideally, if you are testing any system on both the price series, you should get similar results. The numbers won't be exactly the same but they will be similar.

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It depends what you are doing: asset allocation, classifier/regression modelling, etc. In any case can shift the weights of the allocation, change the regressors, etc. Nevertheless, it belongs to the family of backtesting sampling bias.

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