PureBytes Links
Trading Reference Links
|
> Can you expand on your comment and share alternatives or options to
> "maintain quality" with an AQ updated db.
Opinions on data quality and whether Yahoo is value for money are
personal.... I am not a White Knight for Yahoo ... it just happens to
suit my temperament and objectives i.e. to get a good all round
knowledge of the markets and to do that cheaply.... also I am more of
a chart trader than an algorithmic trader ... if I was going to use
the data for AT I might take a different view.
I have used Yahoo extensively for backtesting and for research but
note that my backtesting was educational and not specifically to
write working systems (I did develop some short term swing systems,
using Yahoo, that I later honed on intraday data from eS).
Example:
When you 'phoned a friend' I was actually running two instances of
AB .... one on Yahoo ^GSPC daily and one on ES #F (S&P cash future)
intraday in daily view and they both look the same to me, a pattern
trader, because the patterns are identical.... as a pattern trader I
am not concerned with +_ 0.01% differences in the datapoint values.
To an algorithmic trader the data might 'have errors' because the
OHLCV values are slightly different between the eS charts and the
Yahoo charts.
That is not to say Yahoo is incorrect because the futures data will
always be different and the indexes are calculated in their own way.
Also, eS intraday is not adjusted and Yahoo data is so differences
are expected.
IMO Yahoo EOD data comes from a good source and is good but others
disagree and will not use it i.e. for the USA.
I am uncertain about data for other exchanges and I won't use it in
Australia where I found the quality wasn't as good as in the US.
However, Yahoo is evolving all of the time and they have changed
their international provider so my comment could be unfair relative
to what is available now.
More importantly, it is div adjusted data and that is what I wanted,
at the time, and divAdj data is very hard to find so beggars can't be
chosers.
Back to your question re AQ databases:
I am just giving you a heads up when using it.
Two things:
- last time I checked AQ references the last bar of the first symbol
(usually an index because ^ comes before A in sorting).
AQ then uses this date as starting date for downloading all symbol.
If any symbols have no data for that day, at the time of your
download, but this is later corrected,
then AQ will not backfill data holes.
- Yahoo adjust data for various reasons and when they do they back
adjust. AQ only downloads the current bars, as marked by the first
symbol, and will not backfill adjusted data.
AQ does have some manual allowance for adj factor but I have an old
dog (DAve and Steve please note!) and a parrot so I don't need any
more headaches.
Some traders use MLDownloader which reports divs, finds new symbols
and backfills missing bars (not sure if it refills adjusted data).
I didn't bother buying MLD because I tend to be more trusting of
Tomasz and also I am not that serious about EOD trading as such ( I
am in intraday to 2-3 day swings).
My recommendation:
- download a deep history database for backtesting
- save it/back it up and don't add any more bars to it.
- do not use auto download to create the database (set the dates in
AQ the way I have shown at the UKB and push the data to AB).
for every day use:
- set up a 'live' database with enough history to cover your
indicators
- auto download every day
- dump your live database every week or every month and start again
- during the live database period if any charts plunge overnight
double check to see if they have just gone ex or had a split etc.
Thats' the best I can do from memory .. I don't use it that much and
only tried to learn it well in the beginning.
Others might be able to add something.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, Ken Close <ken45140@xxx> wrote:
>
> Brian:
>
> Thanks for the detailed tips...good stuff.
>
> You said:
> >>I meant to warn you that it is not good practise to append new
data to an
> existing, AQ created, database for backtesting (susceptible to
> corruption).... it's OK for temporary working databases (scanning
for
> current signals etc) ... for backtesting take a history and
quarantine the
> database.
>
> This has me worried, as I am working myself not only towards
backtesting on
> which to depend, but for an AQ maintained db to be my working db for
> O/H/L/C/V data.
>
> Can you expand on your comment and share alternatives or options to
> "maintain quality" with an AQ updated db.
>
> Ken
>
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of brian_z111
> Sent: Friday, November 14, 2008 8:39 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Another AQ Question
>
> a) For an existing database that includes symbosl with no data:
>
> - Tools >> Database Purify
> - Select reference >> All Symbols >> select All Symbols/N ==
> 1, Report Missing Quotes
> - Deselect other report options
> - Default threshold is OK
> - Analyse
> - Click on column header to sort (separate Missing from No
> Quotes)
> - Shift/click first and last NoQuotes symbols
> - Right Click and send to watchlist
>
> Normal procedure to delete WL symbols from DB
>
>
> b) For a new EOD database:
>
> - create a new blank database
> - leave AB open
> - open AQ and import ticker list into AQ
> - uncheck AutoImport
> - set AQ dates to download one bar (quicker)
> - download and symbols will record errors
> - AQ >> Edit >> Toggle (switches checked symbols to non error
> symbol)
> - Check AutoImport
> - Set download dates to required history
> - Download (only symbols with data will be `pushed' to AB)
>
> I didn't have time to check method B completely... I am pretty
certain it
> works ... if not tweaking it a little will get results (save
filtered list
> and restart database).
>
> AFAIK you can't sort the AQ columns or delete all error symbols
from the AQ
> list.
>
> I couldn't find the toggle to turn on the 'hidden' AB help manual
either.
>
> I meant to warn you that it is not good practise to append new data
to an
> existing, AQ created, database for backtesting (susceptible to
> corruption).... it's OK for temporary working databases (scanning
for
> current signals etc) ... for backtesting take a history and
quarantine the
> database.
>
> There are some tricks to using AQ ... a few are documented at the
UKB
> although the DBM section is incomplete and becoming dated now :-(
>
> brian_z
>
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <ken45140@> wrote:
> >
> > As I load symbols into AQ and fetch data, a bunch of symbols are
> reported as
> > errors, obviously symbols which have changed names or are no
longer
> listed.
> >
> > My question is whether there is a convenient way to purge the
> database of
> > the out of date symbols, by somehow reading the window of results
> for those
> > having errors, and then turning that into some mass deletion list.
> >
> > Does such a method exist?
> >
> > Thanks.
> > Ken
> >
>
>
>
> ------------------------------------
>
> **** IMPORTANT ****
> This group is for the discussion between users only.
> This is *NOT* technical support channel.
>
> *********************
> TO GET TECHNICAL 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
>
------------------------------------
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL 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/
|