When doing exploratory analysis, perform as many iterations of the whole analysis as possible. Typically you will have multiple steps of signal gathering, processing, modeling, etc. If you spend too long getting the very first stage of your initial signals perfect, you are missing out on opportunities to do more iterations in the same amount of time.
Further, when you finally look at your data at the end, you may make discoveries that change your direction. Therefore, your initial focus should not be on perfection but on getting something reasonable all the way through.
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