|
PureBytes Links
Trading Reference Links
|
Ron,
Yes, that is exactly what I am saying.
You have said before that you trade quite successfully using Yahoo
data with a 250 day MA I think it was.
When I backtest and get a thousand closed trades isn't that also a
consensus that smooths the individual data errors.
(The problem with data that is not dividend adjusted is that the
errors are uni-directional and cumulative over time.
When a intraday tick trader gets killed by a bad tick here and there
but still has a successful year overall isn't that a data consensus?
IMO it is a myth that we have clean data - we don't.
If we really tried to drill down into it we would go crazy.
We still manage to trade with what we have.
Personally I just take Tomasz's word for it that eSignal is 'clean' -
he's been around long enough.
He doesn't say what he means and how he came to that conclusion
though.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, Ronald Davis <xokie7@xxx> wrote:
>
> EOD data accuracy is "NOT" important "IF" your indicator is
calculating in such a way that it looks for the core value of the
action of the data for the last several hundred days of activity.
>
> In this case, you could have many errors, and the errors would be
overwhelmed by the consensus opinion of the hundreds of days of the
largely correct data. Ron D.
>
>
>
>
>
> brian_z111 <brian_z111@xxx> wrote:
> Thanks Bill,
>
> The problem I have with that article is that they don't say what
> method they used to measure the error rate.
>
> I think that in the financial journals etc there would be reports
on
> the efforts of academics to deal with the issue but would I
> personally have the resources and expertise to do it myself.
>
> Since the data from the exchanges contains errors, and their books
> are closed, how could anyone know for sure how accurate the data is?
>
>
> brian_z
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic"
> wrote:
> >
> > Here is one study:
> http://www.csidata.com/csi/reviews/reprintsep99.html
> >
> > Bill
> >
> > ----- Original Message -----
> > From: "brian_z111"
>
> > To:
> > Sent: Friday, February 15, 2008 12:35 PM
> > Subject: [amibroker] Re: AP's RT data feed - for MarkK
> >
> >
> > > Steve,
> > >
> > > I would like to know how I can decide if EOD data is clean or
if
> > > intraday data is up to the demands.
> > >
> > > It is a subject that I don't see much quality discussion on.
> > >
> > > For EOD data my best ideas so far are:
> > >
> > > 1) Data includes raw data - I can compare raw data to other
> providers
> > > raw data - I can't compare it to an absolute benchmark because
> there
> > > isn't one.
> > >
> > > 2) Data inlcudes a record of all split events and the
> corresponding
> > > split factor I can check the event records independently and
> check
> > > the math.
> > >
> > > 3) I can apply the split factor or see the results of it's
> > > application so I can check the math.
> > >
> > > 4) The event calendar should inlcude non-trading days for the
> market
> > > and stand down trading days for companies.
> > >
> > > 5) Data can be padded or unpadded (optional).
> > >
> > > I can't think of any other way to measure data quality.
> > >
> > > I don't think any data provider meets the criteria - maybe a
few.
> > >
> > >
> > > For intraday:
> > >
> > > What could I possibly do?
> > >
> > > Buy raw tick data from several providers, compare them for a
> > > consensus and filter it myself ?
> > >
> > > I am at a loss on that one.
> > >
> > > Of course another option is to trade in such a way that bad
ticks
> and
> > > unclean EOD data don't affect the outcomes very much (that
could
> be a
> > > lot easier than the above).
> > >
> > > brian_z
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "scourt2000" wrote:
> > >>
> > >>
> > >> Mark,
> > >>
> > >> No successful intraday real-time trader who does this full-
time
> > > would
> > >> ever drop eSignal for Gary's new real-time service.
> > >>
> > >> It's a pennywise and pound-foolish decision.
> > >>
> > >> He's fine for clean end-of-day data. But he's way out of his
> > > league
> > >> for the demands of intraday real-time trading.
> > >>
> > >>
> > >> --- In amibroker@xxxxxxxxxxxxxxx, "MarkK" wrote:
> > >> >
> > >> > Brian,
> > >> >
> > >> >
> > >> >
> > >> > So far I am very happy with the QP RT beta testing
> > >> >
> > >> > I believe that when it goes live they will be taking a lot
of
> > >> customers away
> > >> > from the other services
> > >> >
> > >> >
> > >> >
> > >> > It is a much better value than other things out there, and
so
> far
> > >> the data
> > >> > has been accurate
> > >> >
> > >> >
> > >> >
> > >> >
> > >> >
> > >> > MarkK
> > >> >
> > >> >
> > >> >
> > >> > _____
> > >> >
> > >> > From: amibroker@xxxxxxxxxxxxxxx
> > > [mailto:amibroker@xxxxxxxxxxxxxxx]
> > >> On Behalf
> > >> > Of brian_z111
> > >> > Sent: Friday, February 15, 2008 7:47 AM
> > >> > To: amibroker@xxxxxxxxxxxxxxx
> > >> > Subject: [amibroker] Re: AP's RT data feed - for MarkK
> > >> >
> > >> >
> > >> >
> > >> > > I am looking for an RT data provider. I used eSignal for a
> > > couple
> > >> > >of years, then quit and am ready to resart, but don't likr
> their
> > >> > >fees.
> > >> >
> > >> > QuoteTracker and LiveCharts have the $60 and $20 version of
> > > eSignal
> > >> > if you don't mind less backfill and fewer symbols.
> > >> >
> > >> > I have read of a few issues with LiveCharts but surely we
can
> > > make
> > >> it
> > >> > work (a lot of the problems also came about because people
> still
> > >> > wanted it free after it changed to pay for play a year ago -
> of
> > >> > course it doesn't work if ou don't pay).
> > >> >
> > >> > A couple of users said it was slow - I don't know - I
haven't
> > > tried
> > >> > it yet but I will.
> > >> >
> > >> > brian_z
> > >> >
> > >> > --- In amibroker@xxxxxxxxx 40yahoogroups.com>
> > >> ps.com, "Ara
> > >> > Kaloustian" wrote:
> > >> > >
> > >> > > Mark,
> > >> > >
> > >> > > I am looking for an RT data provider. I used eSignal for a
> > > couple
> > >> > of years, then quit and am ready to resart, but don't likr
> their
> > >> fees.
> > >> > >
> > >> > > Would you elaborate a bit on AP. Never heard of them
> > >> > >
> > >> > > Tx
> > >> > >
> > >> > > Ara
> > >> > > ----- Original Message -----
> > >> > > From: MarkK
> > >> > > To: amibroker@xxxxxxxxx
> > >> ps.com
> > >> > > Sent: Friday, February 15, 2008 3:36 AM
> > >> > > Subject: RE: [amibroker] New EOD data feed other than
Quotes
> > > Plus
> > >> > >
> > >> > >
> > >> > > Dan,
> > >> > >
> > >> > >
> > >> > >
> > >> > > I use QP for EOD data, and am happy with the fundamental
> data
> > >> > that they provide. Not sure there is another service that
> offers
> > > as
> > >> > much in that area
> > >> > >
> > >> > > I also use Fast Track for EOD data. Some market internal
> data,
> > >> > no fundamental data to speak of, however the data has been
> > > cleaner
> > >> > than QP EOD day data. For Mutual fund data not sure there is
a
> > >> > better service out there.
> > >> > >
> > >> > >
> > >> > >
> > >> > > Have been an e-signal subscriber for RT data now for 4
> years. I
> > >> > cancelled my subscription since they kept raising their
> prices,
> > > and
> > >> > went to IQ feed. Used them for a month then they raised
their
> > >> > prices. Luckily I was abe to beta test AP's RT data feed. So
> far
> > >> > they have been very responsive on the changed needed to make
> it
> > > an
> > >> > excellent RT service, and at a reasonable price.
> > >> > >
> > >> > >
> > >> > >
> > >> > > I would suggest you get hold of Gary at QP and let him
know
> > > about
> > >> > your issue. I would think you will become a satisfied
customer
> > > once
> > >> > again
> > >> > >
> > >> > >
> > >> > >
> > >> > >
> > >> > >
> > >> > >
> > >> > >
> > >> > > MarkK
> > >> > >
> > >> > >
> > >> > >
> > >> > >
> > >> > > ----------------------------------------------------------
> > >> > ----------
> > >> > >
> > >> > > From: amibroker@xxxxxxxxx 40yahoogroups.com>
> > >> ps.com
> > >> > [mailto:amibroker@xxxxxxxxx 40yahoogroups.com>
> > >> ps.com] On
> > >> > Behalf Of Dan Clark
> > >> > > Sent: Thursday, February 14, 2008 11:56 PM
> > >> > > To: amibroker@xxxxxxxxx
> > >> ps.com
> > >> > > Subject: [amibroker] New EOD data feed other than Quotes
Plus
> > >> > >
> > >> > >
> > >> > >
> > >> > > I've been using Quotes Plus data for the last 2-1/2 years.
> > >> > Overall, I've been very happy with Quotes Plus data and Gary
> > >> Lyben's
> > >> > (owner/president) responsiveness. That said.
> > >> > >
> > >> > >
> > >> > >
> > >> > > In the last few days, I've swapped several e-mails about a
> > > minor
> > >> > billing issue (credit card renewed with different number)
with
> a
> > >> > woman in his billing department. What should have been a
very
> > > minor
> > >> > clerical issue left me feeling EXTREMELY angry and offended.
> > >> > >
> > >> > >
> > >> > >
> > >> > > I vowed to switch my data feed from Quotes Plus to another
> data
> > >> > feed as soon as possible. This is a major issue for me
because
> of
> > >> > the amount of AFL recoding involved, but I can no longer do
> > >> business
> > >> > with Quotes Plus.
> > >> > >
> > >> > >
> > >> > >
> > >> > > I need some options for other EOD data feeds. What EOD
> service
> > >> > are you using? What has your experience been? What are the
> > >> > alternatives now?
> > >> > >
> > >> > >
> > >> > >
> > >> > > Thanks and regards,
> > >> > >
> > >> > >
> > >> > >
> > >> > > Dan.
> > >> > >
> > >> >
> > >>
> > >
> > >
> > >
> > >
> > > Please note that this group is for discussion between users
only.
> > >
> > > To get support from AmiBroker please send an e-mail directly to
> > > SUPPORT {at} amibroker.com
> > >
> > > For NEW RELEASE ANNOUNCEMENTS and other news always check
DEVLOG:
> > > http://www.amibroker.com/devlog/
> > >
> > > For other support material please check also:
> > > http://www.amibroker.com/support.html
> > >
> > > Yahoo! Groups Links
> > >
> > >
> > >
> > >
> > >
> > > --
> > > No virus found in this incoming message.
> > > Checked by AVG Free Edition.
> > > Version: 7.5.516 / Virus Database: 269.20.4/1277 - Release
Date:
> 2/13/2008 8:00 PM
> > >
> > >
> >
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> Yahoo! Groups Links
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|