Point-in-Time Support

The Exabel platform has native support for point-in-time data. For every time series in Exabel, it is possible to retrieve that time series as it was available at a particular point-in-time (based on its "known time").

This is critical to avoid look-ahead bias when evaluating a time series dataset through backtests, applying a dataset towards predicting company fundamentals, or simulating portfolio strategies. Under these scenarios, it is important to use only data that would have been available at that point-in-time, when making a prediction or portfolio allocation on a historical date.

👍

Current support for Point-in-Time

As of June 2022, support for point-in-time is as follows:

  • :white-check-mark: Data Import: support for specifying the point-in-time (knownTime) for time series being imported
  • :white-check-mark: Data Export: work-in-progress to query & export of time series as of a given point-in-time
  • :white-check-mark: Signal Explorer: evaluation & plotting of signals as of a given point-in-time
  • :white-check-mark: Alpha Tester: point-in-time evaluation of both signals and screens at each rebalance date
  • :white-check-mark: Portfolio Strategies: point-in-time evaluation of both signals and screens at each rebalance date
  • :white-check-mark: Prediction Models: point-in-time is supported for the Prediction Model (ML) and Classification Model types.
  • :construction: Prediction Models: point-in-time support for Prediction Model (TS) during training & inference is not yet available, and planned for 3Q 2022.

📘

How does point-in-time work under the hood?

To understand Exabel's native support for point-in-time data, refer to the time series page.


Did this page help you?