|
PureBytes Links
Trading Reference Links
|
I thought you've said an intraday eSignal database had both intraday
and EOD data (and I've had "Force mixed EOD/Intraday mode" set in the
Configure settings and "Allow mixed EOD/Intraday data" (and Use
Exchange time) set in my Intraday settings) so I assumed the EOD data
would be the same "cleaned up"/true/resolved OHLC I'd get if I only
requested eSignal daily data. If the EOD data mixed in with the
intraday data isn't the "cleaned up" OHLC as reported by all data
providers, what is it?
Does this mean that if I want to use the true daily open (within the
120 day intraday range) in my backtests, I need to use an EOD
database (eSignal or Yahoo or ... )? At least I wouldn't get
something from the last hour (as it appears is happening now), right?
My data base settings have always been set to show "Show day session
only" and start time = 9:30 and end = 16:00.
I'll do some more experimentation to see if I can make some sense out
of it.
Dan
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> 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@xxxx>
> 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
> > >
> > >
> > > Yahoo! Groups Sponsor
> > > ADVERTISEMENT
> > >
> > >
> > >
> > >
> > >
> > > ----------------------------------------------------------------
----
> > ----------
> > > Yahoo! Groups Links
> > >
> > > a.. To visit your group on the web, go to:
> > > http://groups.yahoo.com/group/amibroker/
> > >
> > > b.. To unsubscribe from this group, send an email to:
> > > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > >
> > > c.. Your use of Yahoo! Groups is subject to the Yahoo!
Terms of
> > Service.
> >
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
------------------------ Yahoo! Groups Sponsor --------------------~-->
Make a clean sweep of pop-up ads. Yahoo! Companion Toolbar.
Now with Pop-Up Blocker. Get it for free!
http://us.click.yahoo.com/L5YrjA/eSIIAA/yQLSAA/GHeqlB/TM
--------------------------------------------------------------------~->
Check AmiBroker web page at:
http://www.amibroker.com/
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:
http://docs.yahoo.com/info/terms/
|