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[amibroker] Re: Reverse engineering eSignal ZigZag code



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Does anybody else have problems getting comparable results doing 
daily backtests of the same stocks with the same strategy, period, 
and settings using the Yahoo and eSignal databases?

I just tried another period (365 days) and although the number of 
trades was comparable (407 versus 443), the annual returns aren't 
even close (212.97% versus 72.09%).

Would somebody please shed some light on these descrepancies.

Dan

--- In amibroker@xxxxxxxxxxxxxxx, "danielwardadams" 
<danielwardadams@xxxx> wrote:
> 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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