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Hello,
See this post:
http://finance.groups.yahoo.com/group/amibroker/message/63015
When using eSignal mixed mode, last 120 days are filled with intraday data and when you switch
to "Daily" intraval those bars are generated by time-compression of intraday
bars. Exact results of time compression depends whenever you have
pre/after hours data viewing turned on or off and depends on
your start/end time settings in File->Database Settings->Intraday Settings.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "danielwardadams" <danielwardadams@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, July 23, 2004 9:18 PM
Subject: [amibroker] Re: Simple question
> 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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>
>
>
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>
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