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If I backtest the same portfolio of (approx 50) stocks with exactly
the same strategy and settings over the same period of time,
shouldn't I expect fairly comparable results with both the Yahoo and
eSignal EOD databases?
I would expect them to be close (acknowledging things like splits and
data errors might be handled differently), but my results aren't even
close.
One test from August 1999 to date gave the following results.
Yahoo: Annual return = 66.71%, number of trades = 2287.
eSignal: Annual return = 52.05%, number of trades = 3977.
Although the eSignal data costs $$$, frankly I think I trust the
Yahoo data more. I've reported problems with the determinism of the
eSignal data before and haven't gotten any satisfactory feedback.
(Example: Not forcing backfill on all stocks to the same date even
though the data does exist).
Which data should I believe? Or, maybe, are both sets of data okay
and it's a matter of the backtest code not working properly?
Backtesting is the ONLY reason I want to use Amibroker but I'm about
ready to give up on it.
I'd be interested in anybody else's experiences on either data
reliability or backtest reliability/determinism.
Dan
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