Data quality varies from excellent to awful. Since bad data can wreak havoc with all forms of analysis, lead to misleading results, and waste precious time, only use the best data that can be found when running tests and trading simulations. Some forecasting models, including those based on neural networks, can be exceedingly sensitive to a few errant data points; in such cases, the need for clean, error-free data is extremely important. Time spent finding good data, and then giving it a final scrubbing, is time well spent. Data errors take many forms, some more innocuous than others. In real-time trading, for example, ticks are occasionally received that have extremely deviant, if not obviously impossible, prices. The S&P 500 may appear to be trading at 952.00 one moment and at 250.50 the next! Is this the ultimate market crash? No-a few seconds later, another tick will come along, indicating the S&P 500 is again trading at 952.00 or thereabouts. What happened? A bad tick, a “noisespike,” occurred in the data. This kind of data error, if not detected and eliminated, can skew the results produced by almost any mechanical trading model. Although anything but innocuous, such errors are obvious, are easy to detect (even automatically), and are readily corrected or otherwise handled. More innocuous, albeit less obvious and harder to find, are the common, small errors in the settling price, and other numbers reported by the exchanges, that are frequently passed on to the consumer by the data vendor. Better data vendors repeatedly check their data and post corrections as such errors are detected. For example, on an almost daily basis, Pinnacle Data posts error corrections that are handled automatically by its software. Many of these common, small errors are not seriously damaging to software-based trading simulations, but one never knows for sure. Internet and on compact discs. Value-added vendors, such as Tick Data and Pinnacle, whose data have been used extensively in this work, can supply the trader with relatively clean data in easy-to-use form. They also provide convenient update services and, at least in the case of Pinnacle, error corrections that are handled automatically by the downloading software, which makes the task of maintaining a reliable, up-to-date database very straightforward. Data need not always be acquired from a commercial vendor. Sometimes it can be obtained directly from the originator. For instance, various exchanges occasionally furnish data directly to the public. Options data can currently be downloaded over the Internet from the Chicago Board of Trade (CBOT). When a new contract is introduced and the exchange wants to encourage traders, it will often release a kit containing data and other information of interest. Sometimes this is the only way to acquire certain kinds of data cheaply and easily.