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It appears that backtesting against both Yahoo and eSignal databases
outside the 120 eSignal intraday range gives results that are very
similar (but not identical). Outside the 120 day range, I also see
the OHLC are the same on the charts for both databases (spot checking
only).
Within the 120 range, however, the OHLC show differently within the
daily charts and it appears the eSignal values might be taken from
sometime in the last hour of trading (?). It is within the 120 range
that the backtest buy and sell points start to diverge.
I could probably dig deeper but I have to leave for an appointment.
Dan
Once I get inside the intraday range,
--- In amibroker@xxxxxxxxxxxxxxx, "ed" <ed2000nl@xxxx> wrote:
> you can simply test what the problem could be. Do a backtest over a
limited period and compare the trades.
>
> One thing that could have gone wrong is that you pad with the same
symbol (see AA, settings, Pad and align data).
>
> But in general to find what the problem could be you have to start
comparing the trades you get for the different databases and go from
there,
>
> rgds, Ed
> ----- Original Message -----
> From: danielwardadams
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Friday, July 23, 2004 5:39 PM
> Subject: [amibroker] Re: Simple question
>
>
> 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
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
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