[amibroker] Re: IQ data holes for illiquid symbols in portofolio backtesting

["loveyourenemynow" <loveyourenemynow@xxxxxxxx>]

If the more liquid stock is the active symbol, AB fix the problem at
least at indicator level from what I can see, but if the  active stock
is the illiquid missing quotes one, also the liquid is on the same
time stamps but I am not sure if barnumber are consistent

I hope in backtesting at portolio level ... all the bar of the most
symbols are use

LY

--- In amibroker@xxxxxxxxxxxxxxx, "loveyourenemynow"
<loveyourenemynow@xxx> wrote:
>
> I have realized that IQ data skips bars for illiquid symbols(if there
> is no trade I guess), so that c[i] and c[i+1] in minute time frame for
> example could correspond to an actual time difference of 5 or even
> more time.
> If I backtest a portfolio this will imply that I am looking a
> different times for different stocks depending on their data
availability.
> For example 
> 
> c[100] is at timenume()==132200 for sym1 
> c[100] is at timenume()==132700 for sym2
> 
> timenum() is not valued on per symbol bases, so I wonder what does it
> return when is called in these cases.
> 
> The consequence is that the backtesting would be totally unreliable.
> Compressing data at longer time scales should fix, but still depending
> on the liquidity I would not now at what scale to go, and I am not
> sure how IB would deal with compression in such a scenario.
> 
> Anybody had the same problem?
> 
> Thanks
> Ly
>




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