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I have seen posts which indicate that Yahoo free
data is fine for backtesting. Below is part of a review and discussion of
an article about Clean Data that appeared in Futures magazine of Sept.
1999. Admittedly, this review of the article was written by the CSI data
company, but it seems to indicate that using the Yahoo free data for your system
development may not be that
wise.
I have decided to make them my EOD supplier
if their EOD data is available soon after the markets close. I would appreciate
hearing from existing users of their Unfair Advantage data regarding the # of
hours after the markets close that their data is available. Is it sent out
raw, and then filtered later that night? If so, then you could set
your computer to automatically download it again early the next day inorder to
keep it clean. I am very data ignorant, so if some of these comments and
suggestions are a little humurous, that is why. I just barely started reading
their website, so hopefully, I will find out a lot more.Ron D
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The Futures study clearly demonstrates that technical analysis requires
accurate data. In the study, S&P 500 data from CSI, Omega Research, and
Bridge were used on the same simple breakout system with strikingly different
results. The profit scenario varied from 20% to much more than 100% over the
full period of study. This should offer substantial proof that the derived
effects of a flawed database can lead to a useless result and a wasted effort
because parameter settings determined from flawed data cannot be expected to
work with the same efficiency in the market on which they will be applied.
Unfair Advantage's software and database are designed so that every user is
equipped with exactly the same data set at all times, forcing any common
analytical tool that is derived from past information to produce equivalent
results on different machines.
Building a trading model based upon flawed past data is
certain to degrade system effectiveness into the future. This truth, learned
decades ago by CSI's founder Bob Pelletier, is the driving force behind CSI's
policies. Before CSI was incorporated in 1970, studies done by Pelletier, a
General Electric mathematician at that time, were inevitably tripped up by some
obscure error that dominated parameter settings and falsely influenced the
outcome of simulation exercises by forcing undeserved profits from the flawed
data. It may seem that a small error here or there would not be important, but
that was not the result in the work. Experiences like this made it abundantly
clear that errors must be forbidden if any fruitful benefit was to be derived
from hindsight testing.
Several of the data vendors included in the study are
either allied with or directly tied to very expensive analysis programs, but
they are not necessarily the required data sources. Although CSI is explicitly
excluded from the data download screens and menus of most of those programs,
discriminating users of the industry's most powerful software tools still come
to CSI for data. They know that it is pure folly to accept the suggestion that
an average data firm can deliver the accuracy needed to create an exceptional
trading system. Now that the importance of data accuracy has been revealed,
perhaps even more traders will come directly to CSI, whether or not their
software producer steers them in that direction. Software companies with whom
CSI data products are compatible include: Equis Int'l (MetaStockŪ), Omega
Research, Windows on Wall Street, ProfiTaker and many others.
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