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<FONT face=Arial color=#0000ff
size=2>Ron,
<FONT face=Arial color=#0000ff
size=2>
You
can download data from CSI ten minutes after the market closes, if you want
to. Of course, it won't contain all of the closing prices and many
prices will be wrong.
<FONT face=Arial color=#0000ff
size=2>
You
can continue to download for the next three hours and each download will update
previously downloaded prices.
<FONT face=Arial color=#0000ff
size=2>
After
four hours, corrections and additions are still being done. The data
at that point should be about 98% correct.
<FONT face=Arial color=#0000ff
size=2>
You
can continue to download right through the night and each update may have more
changes.
<FONT face=Arial color=#0000ff
size=2>
A
point in time occurs when you start downloading the next day's data.
However, corrections can (and do) continue basically forever.
Today's download, for instance, contained more than 100 changes affecting U.S.
stock prices more than ten years ago. Most of those corrections, were
arising from errors reported by me.
<FONT face=Arial color=#0000ff
size=2>
The
number of errors and the number of corrections is no reflection on CSI. On
the contrary, this is where (IMO) CSI shines. They don't give up on
the data... ever.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: mrdavis9
[mailto:mrdavis9@xxxxxxxxxx]Sent: Wednesday, September 10, 2003
12:20 AMTo: amibrokeryahoogroupsSubject: [amibroker] EOD
DATA ACCURACY
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
<FONT face=Arial
size=2>============================================================================
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. Send
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