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Good clean data is critical in system testing and development.
A single bad split, dropped decimal point, outlier, zero value, or any
other unusual data jump, can skew system backtesting beyond
usefulness.
Forget about optimizing variables/systems, when you have suspect data.
I've been cleaning/adjusting (for capital reconstructions) my own ASX
stocks data for the past four years, as well as providing MetaStock
CoT data for Paritech.
You may want to take a look at the freeware CleanUp utility available
from
http://users.bigpond.com/prominex/pegasus.htm#downloads
Generally, data upkeeping is a specialized, time-consuming process.
I haven't even begun to attempt splicing/back-adjusting futures
contracts, as this is a major specialized task.
Nevertheless, it has been interesting on my part to test traditionally
available data such as Reuters', only to find simple errors in it
(Open/Close above Highs, etc).
As rewarding as this has been, there comes a time when there isn't
enough hours in a day to check/clean data and do the other important
stuff, such as strategy R&D, trading, and having a life.
It's not often that you'll see me endorsing a commercial service -
some of you may remember my very public stance on "educational"
scammers - but I strongly believe that good products and services
should be encouraged.
After spending countless hours testing Norgate's back-adjusted
continuous contracts and forex data, I'm impressed by its quality and
updating/adjusting process. I haven't tested Norgate's
US/ASX/Euro/Singapore stock data, but if the futures/forex data is
anything to go by, I would sleep well at nights using their data.
I don't have any financial connection or interest with Norgate.
http://www.premiumdata.net/
jose '-)
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