When we develop trading strategies using data, we don’t use price data alone. We don’t add layers and layers of technical indicators that are all based on prices, and hope some mathematical formulas will output some sort of magical market alpha.
We find market inefficiencies (i.e. sources of market alpha) using data. Essentially, the idea is to find data with some sort of predictive value, analyse them to derive some sort of useful information. Note that the term “data” here refers to more than numbers. It could refer to text, images, videos and sound etc.
Quality Data – Data with predictive value on an asset’s future price.