Hello, In AA there is a "Pad and align to reference symbol" option (settings screen) that takes care of it. http://www.amibroker.com/guide/w_settings.html
Best regards, Tomasz Janeczko amibroker.com ----- Original Message ----- From: "loveyourenemynow" <[EMAIL PROTECTED]> To: <[email protected]> Sent: Thursday, January 10, 2008 10:13 PM Subject: [amibroker] Re: IQ data holes for illiquid symbols in portofolio backtesting > If the more liquid stock is the active symbol, AB fix the problem at > least at indicator level from what I can see, but if the active stock > is the illiquid missing quotes one, also the liquid is on the same > time stamps but I am not sure if barnumber are consistent > > I hope in backtesting at portolio level ... all the bar of the most > symbols are use > > LY > > --- In [email protected], "loveyourenemynow" > <[EMAIL PROTECTED]> wrote: >> >> I have realized that IQ data skips bars for illiquid symbols(if there >> is no trade I guess), so that c[i] and c[i+1] in minute time frame for >> example could correspond to an actual time difference of 5 or even >> more time. >> If I backtest a portfolio this will imply that I am looking a >> different times for different stocks depending on their data > availability. >> For example >> >> c[100] is at timenume()==132200 for sym1 >> c[100] is at timenume()==132700 for sym2 >> >> timenum() is not valued on per symbol bases, so I wonder what does it >> return when is called in these cases. >> >> The consequence is that the backtesting would be totally unreliable. >> Compressing data at longer time scales should fix, but still depending >> on the liquidity I would not now at what scale to go, and I am not >> sure how IB would deal with compression in such a scenario. >> >> Anybody had the same problem? >> >> Thanks >> Ly >> > > > > > 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 > > > > >
