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Does anybody else have problems getting comparable results doing
daily backtests of the same stocks with the same strategy, period,
and settings using the Yahoo and eSignal databases?
I just tried another period (365 days) and although the number of
trades was comparable (407 versus 443), the annual returns aren't
even close (212.97% versus 72.09%).
Would somebody please shed some light on these descrepancies.
Dan
--- In amibroker@xxxxxxxxxxxxxxx, "danielwardadams"
<danielwardadams@xxxx> wrote:
> If I backtest the same portfolio of (approx 50) stocks with exactly
> the same strategy and settings over the same period of time,
> shouldn't I expect fairly comparable results with both the Yahoo
and
> eSignal EOD databases?
>
> I would expect them to be close (acknowledging things like splits
and
> data errors might be handled differently), but my results aren't
even
> close.
>
> One test from August 1999 to date gave the following results.
>
> Yahoo: Annual return = 66.71%, number of trades = 2287.
> eSignal: Annual return = 52.05%, number of trades = 3977.
>
> Although the eSignal data costs $$$, frankly I think I trust the
> Yahoo data more. I've reported problems with the determinism of the
> eSignal data before and haven't gotten any satisfactory feedback.
> (Example: Not forcing backfill on all stocks to the same date even
> though the data does exist).
>
> Which data should I believe? Or, maybe, are both sets of data okay
> and it's a matter of the backtest code not working properly?
> Backtesting is the ONLY reason I want to use Amibroker but I'm
about
> ready to give up on it.
>
> I'd be interested in anybody else's experiences on either data
> reliability or backtest reliability/determinism.
>
> Dan
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