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Hello,
In AA there is a "Pad and align to reference symbol" option (settings screen) that takes care of it.
http://www.amibroker.com/guide/w_settings.html
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "loveyourenemynow" <loveyourenemynow@xxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, January 10, 2008 10:13 PM
Subject: [amibroker] Re: IQ data holes for illiquid symbols in portofolio backtesting
> 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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Please note that this group is for discussion between users only.
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