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Portfolio123 » List all forums » Forum: Simulations and Portfolios » Thread: Compare the Reuters data to the Compustat data with the same stocks in a Custom List |
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marco
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Please see http://www.portfolio123.com/mvnforum/viewthread?thread=5377 Thanks ---------------------------------------- Portfolio123 Staff |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
All, Marco is correct. I checked a dozen S&P 500 stocks and even IBM has zeros for open prices prior to 8/26/2004. P123’s workaround of filling in the zeros with the average of Hi & Low allows Sims that use Next Open to be run without “no data” prior to 8/26/2004. This does explain the differences in the above Sims since they are “Price Only” comparisons and do not have fundamental factors in either the ranking system or the buy / sell rules. However, I (and we all) wish that they would have told us this a week ago so we would not have had the anxiety we have felt with the big differences in out tests. From what we have found to date (and now P123 has told us), I think that we can make reasonable comparisons only for large caps that have no zero volume days, and only for dates after 8/26/2004. After comparing my larger cap Sims for dates after 8/26/2004, I feel that my current real Ports will behave pretty much the same after the switch to Compustat as they did before. But for me, I will wait until P123 has corrected the open price data before I try to develop any new Sims or ranking systems (the open price data effects ranking systems that use TA factors also). Denny  ---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein |
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Re: Compare the Reuters data to the Compustat data with the same stocks in a Custom List
