?Did Apple ever restate its 2019 revenue?
What Apple reported for FY2019
$338.5 billionfiled 31 Oct 2019
$323.9 billionrestated 30 Oct 2020
Vintage keeps both, and the date of each.
The number changed. Most data feeds only keep the second one.
?What was actually public on 1 January 2020?
Filings visible on 2020-01-01
10-K, FY201931 Oct 2019
8-K, earnings30 Oct 2019
10-Q, Q331 Jul 2019
10-Q, Q1 2020hidden, filed 29 Jan 2020
The future cannot leak in. There is no flag to turn it off.
Everything after that date is invisible. By construction, not by setting.
?Backtest momentum. Then let me try a few more ideas.
Sharpe2.14
specs you tried41
Sharpe noise would produce2.29
after adjustment0.09
The terminal you pay for does not tell you this.
You asked 41 times. That is what noise looks like.
?Does the published research actually hold up?
Jegadeesh & Titman, 1993
claimed1.31% per month
t-statistic3.74
sample1964-1989
Now run it yourself, on data that stops where it should.
331 published anomalies, each with the number to beat.