Revised fundamentals in a backtest
Question
Your vendor's historical fundamentals table contains the latest corrected value for each past reporting period. What evaluation problem can this create?
Short answer
A modern corrected history may include revisions unavailable to a historical investor. Training or testing against that history can introduce look-ahead even if rows are split chronologically. Obtain point-in-time records with release and revision timestamps, reconstruct the information set at each decision, and record any remaining limitations. A chronological split does not repair features that already contain future revisions.
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