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Terry, do you get 10 yrs of delisted data as well, or
just the delisted for the current months? I would like
to backtest with delisted stocks in the database, so
Im curious.
Eric
--- b <b519b@xxxxxxxxx> wrote:
> 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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