|
PureBytes Links
Trading Reference Links
|
As I have stated and will do so again. The parameters in this system
are at least somewhat fragile. If you want to term that overly-
optimized so be it. There is however a difference between the
concept of vendor data errors and using one set of data to test and
another to trade. I suspect this particular system could be
optimized to use and trade any of the variety data sources, but not
to test on one and trade on another. I can point at datapoints
between vendors where prices differ by more then 1% on several
occasions. If you don't find that to be significant in the systems
you build and test then you don't.
--- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" <kernish@xxxx>
wrote:
> 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@xxxx>
> 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.
> > > Checked by AVG anti-virus system (http://www.grisoft.com).
> > > Version: 6.0.455 / Virus Database: 255 - Release Date:
02/13/2003
> >
> >
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> >
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|