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Greg,
Thanks for the note. It would be a great find to have data from 1970
on -- assuming that its coverage was comprehensive for the 1970s and
1980s. I currently use a data provider that claims data from 1964
on, but only has a few stocks prior to 1980. Actually it only has a
sizable enough number for my needs from 1990 on - so that is all I
have bought. So I am most interested in an potential source of data
from 1970 to 1990. That could more than double what I currently
have.
I had a quick look at the web site you mention and at the sample
data file they provide and here are my observations.
1. It has good precision. Up to 6 decimal places to handle post
split prices: for example, 0.672743 as a price in 1988 and 42.79
more recently. That is better than many data providers for early
years. A plus.
2. There are some serious DATA HOLES: Some dates have prices as
0,0,0,0 which I guess means the stock did not trade that day (a
holiday or suspended for the day or whatever). Such data holes will
make a mess of charts in AB and of moving averages in mechanical
backtesting with AB. So one would need to write a program in VB, C,
or Delphi to process every file looking for such data holes and
filling them with previous day's prices, or just deleting the date.
In other words, this data would take some work to make it useable.
3. The data goes back before Open prices were recorded. So the
sample data file has price data like: 0, 0.33333, 0.34444, 0.32222,
0.33345 (these numbers for illustration purposes only). Note that
the open is zero. There is not much anyone can do about this since
the open was not recorded. One would just have to remember not to
tell AB to buy or sell at the next day's open. One could use
something else like next day's (H+L+C)/3 or even just the close.
4. I could not tell if there was a way to determine what a stocks
actual trading prices were (pre-split prices). If not, the data
would not be all that useful - at least to me.
Thanks again for sharing.
b
--- In amibroker@xxxxxxxxxxxxxxx, "Greg" <gregbean@xxxx> wrote:
> Hi,
>
> I just came across this at another board and thought it might be
worth looking into.
>
> Greg
>
> ***************************************
> FWIW, I have just received notice of a source for historical data,
at a very low price. It is a CD-ROM in ASCII format containing
18,000 stock issues going back to 1970, from the NYSE, AMEX, NASDAQ,
and OTC. The records give Date, Open, High, Low, Close, and Volume.
Prices are said to be split-adjusted. Data for each ticker symbol is
in a separate file.
>
> Potential problems:
>
> - Unique CRSP identifiers are NOT provided.
> - Dividends are apparently NOT included.
> - Survivorship problems are NOT discussed.
> - Errors caused by re-use of ticker symbols may occur.
> - This data might be no better than Yahoo, which is free.
>
> Here is a link:
>
> http://www.price-data.com/eod_stocks.cfm
>
> I don't know anything about this company, or the quality of their
data, or from whence it came. Still, it might be useful to someone
here.
>
> Loren
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