Frank,
I actually find it is the opposite for ES futures in that the highs
and lows are more consistent between suppliers than the closes. I
base my strategies of (H+L)/2 rather than Close and don't see as many
problems. The highs and lows of a candle are not as dependent on the
exact time alignment of the start of a candle. The close is
critically aligned to time.
For stocks H and L get hit with bad ticks and different suppliers
scrub the data differently, so then closes are more accurate.
BR,
Dennis
On Jul 21, 2009, at 9:51 AM, Frank Pines wrote:
Herman
Thank you for getting back to me
The areas that seem to be different is in RSI values and High and
Lows (By a large Margin) when looking at the charts. I don't use
High and Low in my strategies
Frank
--- On Tue, 7/21/09, Herman <[email protected]> wrote:
From: Herman <[email protected]>
Subject: Re: [amibroker] Data Feed
To: "fpnetwind" <[email protected]>
Date: Tuesday, July 21, 2009, 1:32 PM
Changing data is always a nice way to test the robustness of a
system. While there are differences between various sources of
historical data (there always will be) there will be very similar
differences between various real-Time data feeds. If your system
works with one type, using historical or Real-Time data, and not on
another you should analyze why this is so before trading any real
money.
Data dependency can often be traced to signals being based on the
High or Low price triggers.
best regards,
herman
Tuesday, July 21, 2009, 9:18:20 AM, you wrote:
> I just signed up for IQFEED, but finding my indicator outputs are
not
> matching the results from Yahoo feed. RSI is off, candlestick
chart is off. Volume is close.
> I know Yahoo truncates two decimal points on Volume and IQFeed
doesn't, but
> when I backtest using the same formulas with AmiBroker the results
are like
> day and night (Same Settings for backtesting)
> Is there something I am missing? Or do I need to adjust my trade
formulas based on the Data Feed
> Frank
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