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Chaps,
I'm sorry my explanation was wanting. Reason is that I
sort of carried this thread over from the Amibroker-ts board.
Here's a better explanation.
I used the Database Purify tool in each case with the
Detection threshold for splits set at the 'default' value of 40%.
The data was loaded from each source for the period
1/1/1994 to 1/1/2004.
Like Jason, I'm trying to convince myself to 'buy' data
rather than get it free - but is bought data any better?
By the way, I've cured my problems with data downloading
from Yahoo! (or anywhere else). I've set up a Windows scheduler to do the job,
slowly (only 1 'simultaneous' download and 1000 ms delay between requests)
whilst I sleep. This works to perfection because I'm interested in US stocks,
but live in England. In the morning, I have a fresh data download and 6 hours to
prepare before the market opens.
I know that Tomasz, and others, favour QP data. Why is
there such a push to get CSI data then?
Chuck's arguments about using adjusted/unadjusted data
are very compelling, I feel less alarmed by the de-listed stock
problem.
I'm also fairly unconcerned by the N100 changes which
occur over time - I fail to see the point of using the artificial membership of
an index as a component of stock selection. I prefer to use the entire universe
of stocks and select on dollar volume, volatility and price(which is
currently false, because my data is split adjusted.......).
So, where to go from here? Wait for an improved CSI
service? Go with QP? Stick with Yahoo!?
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Tomasz Janeczko
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, January 01, 2004 8:48
PM
Subject: Re: [amibroker] Data
Comparison
Steve,
Equal number of 'missing quotes' in all three sources just
makes it clear
that these are days when trading was suspended for
particular symbol(s)
so it is absolutely not suprising.
"Possible unadjusted split" depends on the threshold you
use.
If you use more 'robust' threshold of 50% you will get less
hits,
still sometimes it happens that prices gap more than 50% on
some news
and it is not split.
As for Low is higher than close it is clearly data
error.
So this comparison suggests that Yahoo is very clean in
fact.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=steve2@xxxxxxxxxxxxxxxxxxxx
href="">Steve Almond
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">Ami
Sent: Thursday, January 01, 2004 12:53
PM
Subject: [amibroker] Data
Comparison
I carried out a (rather trivial) data comparison of the
suppliers accessible free via Amiquote.
In each case I used the Nasdaq 100 stocks (Nov 03
chapter).
My reference signal was ^SPX downloaded from Yahoo! (Using
$SPX from eSignal resulted in lots of 'Extra Quotes' for other stocks - in
other words $SPX is full of holes).
I selected all the reports except 'Report
missing quotes at beginning...' and 'Report extra quotes'.
Here are the results of this stunning piece of scientific
investigation (anyone on the Nobel prize committee out there?):
<TABLE cellSpacing=0
cellPadding=0 width=454 border=0 x:str>
<COL
width=198>
<TD class=xl26
width=198 height=18>
<TD class=xl28
width=64>Yahoo!
<TD class=xl28
width=64>eSignal
<TD class=xl29
width=64>MSN
<TD
width=64>
<TD class=xl24
height=17>Missing quote
<TD class=xl27
x:num>542
<TD class=xl27
x:num>542
<TD class=xl30
x:num>542
<TD
><FONT
face=Arial size=2>
<TD class=xl24
height=17>Possible unadjusted split
<TD class=xl27
x:num>37
<TD class=xl27
x:num>93
<TD class=xl30
x:num>89
<TD
><FONT
face=Arial size=2>
<TD class=xl25
height=18>Low is higher than Close
<TD class=xl31
x:num>2
<TD class=xl31
x:num>15
<TD class=xl32
x:num>1
<TD
>
<TD
height=17>
<TD
>
<TD
>
<TD
>
<TD
>
Would anyone like to contribute results from QP and/or
CSI?
Steve
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To visit your group on the web, go to:<A
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To unsubscribe from this group, send an email to:<A
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Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
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
Yahoo! Groups Links
To visit your group on the web, go to:http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
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