Extending Historical Daily Bond Data to 100 Years

Finding a good data source with quality data and long history is one of the greatest challenges in quantitative trading. This article explains how to combine multiple data sources to create a 100-year daily data history for US 10-year bonds. Having a 100-year history of daily data can be very beneficial to understanding the market patterns and analyzing history and extending backtests to arrive at a new source of out-of-sample data.

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