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Hi Sailly.
The use of Yahoo data for ASX stocks is not good.
1. No delisted history - any system testing you do based on Yahoo data is subject to population bias. ie you can only test on the stocks that are currently listed.
2. Significant inaccuracies for any stock exchange that trades in increments less than 1c. This includes the Australian Stock Exchange (ASX), Singapore Exchange, some NASDAQ stocks and most OTCBB & Pink Sheet stocks. This happens because Yahoo's data is rounded to the nearest cent. For example, there are 14000 listed instruments on the ASX. Over 8000 of them are currently trading below 20c which means they move in either 0.5 or 0.1c increments. Since Yahoo only prices in cents this introduce VERY SIGNIFICANT innacuracies. - eg. a 2.6c shown as 3c represents a 15% error).
3. Normal dividends are adjusted by subtracting all historical data by the dividend amount. Exchanges such as the ASX do not adjust price data for standard dividends. By diluting it the way they do, any technical analysis or backtesting no longer shows a correct % return, nor does it show a critical technical levels such as support and resistance.
4. No sector information - critical if you want to perform sector-based analysis.
5. Significant number of missing stock splits and other capital adjustments.
Re the rounding, if the data is adjusted (for splits/rights issues etc.) then you want plenty of decimal places so your testing shows the correct % gain. In years past, the ASX had a different mechanism for determining the open and closing price of a stock, ending up with a weighted average of the bids/asks to come up with one open/close price (which would often be a fractional amount). They changed this method a few years ago to more of a volume-matching method so that it's a "normal" trading level.
Best regards,
Richard Dale.
Norgate Investor Services
- Premium quality Stock, Futures and Foreign Exchange Data for
markets in Australia, Asia, Canada, Europe, UK & USA -
www.premiumdata.net
- Premium quality Stock, Futures and Foreign Exchange Data for
markets in Australia, Asia, Canada, Europe, UK & USA -
www.premiumdata.net
From: flintox [mailto:flintox@...]
Sent: Thursday, 5 August 2004 3:35 PM
To: amibroker@yahoogroups.com
Subject: [amibroker] Yahoo EOD data not always correct ?
Apologies if this topic has been discussed before - I have searched
through the archives but there are so many posts regarding Yahoo
that I have not been able to find anything on this particular issues
amongst the hundreds of posts.
I am downloading EOD data from Yahoo to an ASX 200 group on a daily
basis and I am also using another source to download all ASX data on
a weekly basis (ie. I download EOD data but it is only available to
download at the end of each week so is no good for daily trading).
I have noticed discrepancies in quotes between these sources. I
also have some old Bourse data and used this to make a comparison to
see which source seemed to be incorrect - it appears that Yahoo is
incorrect sometimes. Sometimes it can be 5 cents or more difference.
On another note, I also notice that Yahoo seems to use 4 (or more)
decimal places for a quote eg. open = 9.1254 - should I somehow be
rounding this to 2 decimal places?
Many thanks for any feedback on this.
Sally
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