Point-in-Time Correctness

Joining data by event date instead of availability date uses information that did not exist yet, inflating backtest returns by 1-3% annually on fundamental strategies.

The Problem

Fundamental data has two timestamps: when the economic event occurred (quarter-end) and when the data became publicly available (SEC filing date, press release, data vendor publication). Using the event date treats revised, delayed, or embargoed data as if it were available in real time.

Example: Apple's Q4 2024 revenue (period ending Dec 31) is filed with the SEC on Jan 31, 2025. A model that joins revenue on Dec 31 uses data 31 days before it existed.

Macro data has the same problem: GDP is released ~30 days after quarter-end and revised two to three times over the following months.

The Pattern

WRONG

import polars as pl