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background:
i recently tediously downloaded ASX history from yahoo like one or
two others, got rid of .AX prefix and imported it. Of course it isn't
as clean as one would hope. For example:
SFY has junk at a couple of data points in Apr/May 2002. So, i went
looking for some better data and found that Commsec provide one
ticker at a time data for their registered members (up to ten years
with splits handled). For SFY the dates in question have been
removed, and in general the data appears on a quick glance to be
unpadded (it certainly is for YSF -- not a typo)
my question:
So, my question for those who have experience with both padded and
unpadded data is what are the pros and cons when you have functions
such as oscillators or momentum etc,? (or just "stay away from low
liquidity stocks anyway!")
BTW: having downloaded the data i compared it to dirty data i had
culled from other sources back to 1992 which had about 400 stocks
including mostly those that had subsequently gone nowhere, dive
bombed or disappeared. Which sort of suggests that those of us who
are gathering historical data need to beware of survivor bias in any
backtesting. The yahoo data is missing a lot of stocks that
disappeared during the period. The buy and hold for those 400 was
-1.5%, while the overall asx was up by about 10%pa.
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