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VLO has had 2 splits recently. If your original yahoo database was kept
current by just updating nightly, it's possible you have data that is
not split adjusted.
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf Of eric paradis
Sent: Sunday, June 11, 2006 17:11
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Incorrect backtest results on 2 Yahoo Databases
Hi,
I am having a problem with my Amibroker 4.80 installed
software. I added a new database using yahoo free data
from 1980-present, and I use an old db which is also
from yahoo free data. The backtests are generating
differect trades now depending on the data being used.
Can anyone explain why this is occuring on multiple
stocks? Thanks, Eric
Old Database works fine:
Ticker Trade Date Price Ex. date Ex. Price % chg
Profit % Profit Shares Position value Cum. Profit #
bars Profit/bar MAE MFE Scale In/Out Initial risk $
R-Multiple
VLO Long (max loss) 1/2/2001 8.89439 1/5/2001 7.83583
-11.90% -775.67 -11.95% 730 6492.91 -775.67 4
-193.92
-15.33% 2.02% 0/0 649.29 -1.19
VLO Long 2/7/2001 8.89081 3/13/2001 9.15781 3.00%
189.36 2.96% 720 6401.38 -586.31 24 7.89 -4.56%
7.76%
0/0 640.14 0.30
VLO Long (max loss) 5/11/2001 11.7763 6/14/2001
10.1556 -13.76% -877.34 -13.80% 540 6359.22
-1463.65
24 -36.56 -13.89% 7.08% 0/0 635.92 -1.38
VLO Long (max loss) 4/1/2002 11.9591 4/24/2002 11.1162
-7.05% -448.84 -7.08% 530 6338.33 -1912.48 18
-24.94
-7.05% 0.00% 0/0 633.83 -0.71
VLO Open Long 11/3/2003 10.4867 6/8/2006 58.62 459.00%
28877.60 458.96% 600 6292.00 26965.12 655 44.09 -0.73%
574.67% 0/0
New Datbase with error:
Ticker Trade Date Price Ex. date Ex. Price % chg
Profit % Profit Shares Position value Cum. Profit #
bars Profit/bar MAE MFE Scale In/Out Initial risk $
R-Multiple
VLO Long (max loss) 1/2/2001 8.88399 1/5/2001 7.82592
-11.91% -775.31 -11.95% 730 6485.31 -775.31 4
-193.83
-15.34% 2.02% 0/0 648.53 -1.20
VLO Long 2/7/2001 8.88112 3/19/2001 8.21925 -7.45%
-479.43 -7.50% 720 6394.41 -1254.74 28 -17.12
-9.18%
7.76% 0/0 639.44 -0.75
VLO Long 4/9/2001 9.14245 5/8/2001 10.2592 12.21%
778.92 12.17% 700 6399.72 -475.82 21 37.09 -0.03%
28.76% 0/0 639.97 1.22
VLO Long 5/11/2001 11.7665 5/31/2001 10.7882 -8.31%
-530.47 -8.35% 540 6353.92 -1006.29 14 -37.89
-8.57%
7.01% 0/0 635.39 -0.83
VLO Long (max loss) 4/1/2002 11.9389 4/24/2002 11.1062
-6.97% -443.47 -7.01% 530 6327.64 -1449.76 18
-24.64
-7.00% 0.00% 0/0 632.76 -0.70
VLO Long 11/3/2003 10.4766 8/6/2004 16.6806 59.22%
3781.98 59.18% 610 6390.74 2332.22 191 19.80 -0.73%
86.00% 0/0 639.07 5.92
VLO Long 11/17/2004 21.0943 1/6/2005 20.9296 -0.78%
-52.30 -0.80% 310 6539.24 2279.92 35 -1.49 -3.07%
12.53% 0/0 653.92 -0.08
VLO Long 1/14/2005 23.304 4/18/2005 33.1954 42.45%
2768.48 42.43% 280 6525.11 5048.39 64 43.26 -0.77%
74.75% 0/0 652.51 4.24
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