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Fred sez:
Although I have been stoned for this in the past by those who build and
trade
end of day systems with comments like this sort of thing doesn't matter,
one
can clearly see with this example that it does.
Fred,
What really matters is that any "robust" system should be able to handle
vendor mistakes and still produce similar, but not matching, results. Good
bad vs. bad data really doesn't matter... unless, of course, you have
over-optimized your system on a specific set. If a system can't perform on
similar, but not identical, data, then someone might have "over-tweaked"
their approach.
Take care,
Steve
----- Original Message -----
From: <fctonetti@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, February 21, 2003 12:35 PM
Subject: [amibroker] Re: WDS (Watered Down System)
> This goes to show the issues regarding data integrity that I brought
> up some time ago do have at least some truth to them. Although I
> have been stoned for this in the past by those who build and trade
> end of day systems with comments like this sort of thing doesn't
> matter, one can clearly see with this example that it does. As far
> as data goes it's pretty much like anything else, you get what you
> pay for so by definition I have no large amount of faith in Yahoo's
> quotes because they're free. But that aside I think what it shows
> more than anyything else is that one needs to trade with the same
> data streams that one tests with.
>
> --- In amibroker@xxxxxxxxxxxxxxx, Sidney Kaiser <s9kaiser@xxxx> wrote:
> > At 01:40 PM 02/21/2003 -0500, you wrote:
> >
> > >There is something wrong here. The trades are not similar enough.
> The number
> > >of trades is much higher with the Yahoo ^NDX symbol. It would be
> great if
> > >someone with both symbols could investigate this. Would love to
> see a plot
> > >of the difference between the two symbols. Something like this:
> > >
> > >yahooNdx = Foreign("^NDX", C);
> > >quoteNdx = Foreign("NDX_D", C);
> > >diff = quoteNdx - yahooNdx;
> > >Plot(diff, "diff", colorBlack);
> >
> > Steve, to add a third data source to the mix I have 257 trades,
> 3/10/99 to
> > 2/20/03 using QP2 data for NDX.
> >
> > Sid
> >
> >
> > ---
> > Outgoing mail is certified Virus Free.
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>
>
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