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Terry:
I use CSI data to handle the two issues you raise:
precision of price data and inclusion of inactive stocks.
Perhaps over the holidays I may get time to put together a
detailed report on what a difference delisted stocks makes.
But right now I can provide a screen shot from Amibroker. I
used AB's ATC function to create a ticket showing just how
many delisted stock CSI adds to the testing universe for
each year. I will attach the chart to this email.
You also asked about the price precision with CSI data. As
you have discovered, precision becomes an issue for the
early years of stocks which have had multiple splits.
Although I never verified it myself, I have been told by a
data expert that CSI is the only data provider that has
sufficient "precision" in its internal database to provide
trustworthy split adjusted figures for prices back 10 or
more years. I learned this from a person doing research to
design trading systems for a hedge fund with several
hundreds of millions under management. I forget the exact
details, but apparently CSI's internal database has 4 or 5
(I forget which) points of precision after the decimal
point, so that it can export precisely accurate prices for
use in Amibroker.
If you decide to go with CSI, let me know. I can share a
few tips that took me a while to catch on to -- like the
fact that currently CSI's standard export to AB uses
absolute adjustments for dividends which can lead to
unrealistic profit and loss calculations for the early
years of stocks that have given a lots of subsequent
dividends. The solution is to have CSI export using
"proportional" price adjustments for dividends.
CSI gives 5 years of history with a monthly subscription
and 10 years if you pre-pay for a year. If you want
delisted stocks, that is an extra $25/month. If you want
more than 10 years of history, it is $30 for each
additional year. I have about 5 extra years of data (back
to 1989) and am considering buying 2 more years to get 1987
to see how some systems stand up to that years crash.
If you decide to try out CSI data, be sure to tell them you
are using Amibroker. Currently CSI's impression is that
very few of its customers use AB. I want CSI to realize it
is a good business decision to continue to actively support
Amibroker.
b
--- Terry <MagicTH@xxxxxxxxxxx> wrote:
> I will. This is why I asked about CSIData paid service.
> Does their paid
> service have more precision? I'm leaning to CSI Data
> because of Actual
> Historical prices and Extinct tickers.
>
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