Strange behavior

Research
1

I did a Simulation

Ticker(“EWZ”)
Slipage 0%
01/01/2004 - 01/01/2005
Rebalance Daily

I download data and I want to double check with hystorical data exported by Yahoo. I arrive with next data. The Ret column exported by P123.Simulation doesn’t match any daily return that can be computed from Yahoo historical data.

Same happens if I use Ticker(“ILF”). Does anyone has any idea what is happening?

“As Of Dt, Ret” are from P123.
“Date, Open, High, Low, Close” are from Yahoo.

[font=courier new]
Ticker: EWZ
As Of Dt Ret 1.00 Date Open High Low Close o2o c2c o2c 1.00
01/03/04 -0.82% 0.99 01/02/04 16.98 17.48 16.95 17.33 0.00% 0.00% 2.06% 1.00
01/05/04 -0.99% 0.98 01/05/04 17.69 18.40 17.61 18.35 4.18% 5.89% 3.73% 1.06
01/06/04 1.17% 0.99 01/06/04 18.40 18.55 17.92 18.20 4.01% -0.82% -1.09% 1.05
01/07/04 0.38% 1.00 01/07/04 18.54 18.54 17.98 18.02 0.76% -0.99% -2.80% 1.04
01/08/04 2.35% 1.02 01/08/04 18.15 18.28 17.82 18.23 -2.10% 1.17% 0.44% 1.05
01/10/04 -1.60% 1.00 01/09/04 18.36 18.46 18.05 18.30 1.16% 0.38% -0.33% 1.06
01/12/04 -2.66% 0.98 01/12/04 18.62 18.80 18.50 18.73 1.42% 2.35% 0.59% 1.08
01/13/04 -2.45% 0.95 01/13/04 18.80 18.81 18.33 18.43 0.97% -1.60% -1.97% 1.06
01/14/04 0.40% 0.96 01/14/04 18.43 18.43 17.30 17.94 -1.97% -2.66% -2.66% 1.04
01/15/04 2.56% 0.98 01/15/04 17.64 17.91 17.39 17.50 -4.29% -2.45% -0.79% 1.01
01/17/04 -1.78% 0.96 01/16/04 17.32 17.69 17.30 17.57 -1.81% 0.40% 1.44% 1.01
01/20/04 -1.81% 0.95 01/20/04 17.94 18.05 17.80 18.02 3.58% 2.56% 0.45% 1.04
01/21/04 1.38% 0.96 01/21/04 17.84 17.84 17.57 17.70 -0.56% -1.78% -0.78% 1.02
01/22/04 2.95% 0.99 01/22/04 17.58 17.65 17.34 17.38 -1.46% -1.81% -1.14% 1.00
01/24/04 -1.27% 0.98 01/23/04 17.40 17.67 17.39 17.62 -1.02% 1.38% 1.26% 1.02
01/26/04 -3.41% 0.94 01/26/04 17.96 18.14 17.78 18.14 3.22% 2.95% 1.00% 1.05
01/27/04 -5.14% 0.89 01/27/04 18.00 18.04 17.73 17.91 0.22% -1.27% -0.50% 1.03
01/28/04 -2.74% 0.87 01/28/04 18.04 18.04 17.25 17.30 0.22% -3.41% -4.10% 1.00
01/29/04 0.75% 0.88 01/29/04 16.75 16.85 16.00 16.41 -7.15% -5.14% -2.03% 0.95
01/31/04 2.30% 0.90 01/30/04 16.12 16.50 15.80 15.96 -3.76% -2.74% -0.99% 0.92
02/02/04 -1.52% 0.88 02/02/04 15.74 16.10 15.55 16.08 -2.36% 0.75% 2.16% 0.93
02/03/04 -3.09% 0.86 02/03/04 16.11 16.50 16.11 16.45 2.35% 2.30% 2.11% 0.95
02/04/04 3.50% 0.89 02/04/04 16.62 16.75 16.02 16.20 3.17% -1.52% -2.53% 0.93
02/05/04 0.62% 0.89 02/05/04 16.17 16.29 15.65 15.70 -2.71% -3.09% -2.91% 0.91
02/07/04 1.53% 0.90 02/06/04 15.53 16.29 15.53 16.25 -3.96% 3.50% 4.64% 0.94
02/09/04 3.92% 0.94 02/09/04 16.54 16.84 16.25 16.35 6.50% 0.62% -1.15% 0.94
02/10/04 0.46% 0.94 02/10/04 16.56 16.60 16.35 16.60 0.12% 1.53% 0.24% 0.96
02/11/04 -2.54% 0.92 02/11/04 16.62 17.31 16.48 17.25 0.36% 3.92% 3.79% 1.00
02/12/04 -0.30% 0.92 02/12/04 17.30 17.50 17.16 17.33 4.09% 0.46% 0.17% 1.00
02/14/04 -1.66% 0.90 02/13/04 17.56 17.56 16.65 16.89 1.50% -2.54% -3.82% 0.97
02/17/04 -4.83% 0.86 02/17/04 16.85 16.90 16.64 16.84 -4.04% -0.30% -0.06% 0.97
02/18/04 2.16% 0.88 02/18/04 17.00 17.00 16.50 16.56 0.89% -1.66% -2.59% 0.96
02/19/04 -0.93% 0.87 02/19/04 16.12 16.32 15.75 15.76 -5.18% -4.83% -2.23% 0.91
02/21/04 0.38% 0.87 02/20/04 15.15 16.10 15.00 16.10 -6.02% 2.16% 6.27% 0.93
02/23/04 2.75% 0.90 02/23/04 15.97 16.14 15.89 15.95 5.41% -0.93% -0.13% 0.92
02/24/04 -0.43% 0.89 02/24/04 15.95 16.01 15.84 16.01 -0.13% 0.38% 0.38% 0.92
02/25/04 1.95% 0.91 02/25/04 16.01 16.50 16.00 16.45 0.38% 2.75% 2.75% 0.95
02/26/04 4.01% 0.95 02/26/04 16.42 16.44 16.14 16.38 2.56% -0.43% -0.24% 0.95
02/28/04 -0.12% 0.95 02/27/04 16.51 16.74 16.51 16.70 0.55% 1.95% 1.15% 0.96
03/01/04 -0.46% 0.94 03/01/04 17.02 17.49 17.02 17.37 3.09% 4.01% 2.06% 1.00
03/02/04 -1.56% 0.93 03/02/04 17.25 17.48 17.00 17.35 1.35% -0.12% 0.58% 1.00
03/03/04 1.12% 0.94 03/03/04 17.38 17.38 16.93 17.27 0.75% -0.46% -0.63% 1.00
03/04/04 0.06% 0.94 03/04/04 17.20 17.30 16.96 17.00 -1.04% -1.56% -1.16% 0.98
03/06/04 -1.16% 0.93 03/05/04 17.10 17.31 17.00 17.19 -0.58% 1.12% 0.53% 0.99
03/08/04 -5.12% 0.88 03/08/04 17.50 17.52 17.16 17.20 2.34% 0.06% -1.71% 0.99
03/09/04 -3.35% 0.85 03/09/04 17.25 17.26 16.90 17.00 -1.43% -1.16% -1.45% 0.98
03/10/04 3.85% 0.88 03/10/04 16.89 17.00 16.12 16.13 -2.09% -5.12% -4.50% 0.93
03/11/04 -2.53% 0.86 03/11/04 16.18 16.18 15.53 15.59 -4.20% -3.35% -3.65% 0.90
03/13/04 1.39% 0.87 03/12/04 15.94 16.26 15.94 16.19 -1.48% 3.85% 1.57% 0.93
03/15/04 1.56% 0.89 03/15/04 16.17 16.17 15.78 15.78 1.44% -2.53% -2.41% 0.91
03/16/04 2.22% 0.91 03/16/04 16.07 16.10 15.84 16.00 -0.62% 1.39% -0.44% 0.92
03/17/04 -0.96% 0.90 03/17/04 16.10 16.27 16.10 16.25 0.19% 1.56% 0.93% 0.94
03/18/04 -3.10% 0.87 03/18/04 16.31 16.68 16.13 16.61 1.30% 2.22% 1.84% 0.96
03/20/04 0.06% 0.87 03/19/04 16.64 16.64 16.40 16.45 2.02% -0.96% -1.14% 0.95
03/22/04 -2.19% 0.85 03/22/04 16.12 16.25 15.94 15.94 -3.12% -3.10% -1.12% 0.92
03/23/04 0.45% 0.85 03/23/04 16.12 16.25 15.82 15.95 0.00% 0.06% -1.05% 0.92
03/24/04 0.57% 0.86 03/24/04 15.86 15.93 15.57 15.60 -1.61% -2.19% -1.64% 0.90
03/25/04 2.47% 0.88 03/25/04 15.60 16.00 15.60 15.67 -1.64% 0.45% 0.45% 0.90
03/27/04 2.41% 0.90 03/26/04 15.74 16.00 15.73 15.76 0.90% 0.57% 0.13% 0.91
03/29/04 1.57% 0.92 03/29/04 16.15 16.29 16.01 16.15 2.60% 2.47% 0.00% 0.93
03/30/04 1.13% 0.93 03/30/04 16.33 16.59 16.21 16.54 1.11% 2.41% 1.29% 0.95
03/31/04 1.53% 0.94 03/31/04 16.61 17.00 16.54 16.80 1.71% 1.57% 1.14% 0.97
04/01/04 0.46% 0.94 04/01/04 16.94 17.21 16.94 16.99 1.99% 1.13% 0.30% 0.98
04/03/04 0.06% 0.94 04/02/04 17.26 17.31 17.02 17.25 1.89% 1.53% -0.06% 1.00
04/05/04 -2.31% 0.92 04/05/04 17.15 17.43 17.08 17.33 -0.64% 0.46% 1.05% 1.00
04/06/04 0.24% 0.93 04/06/04 17.22 17.36 17.17 17.34 0.41% 0.06% 0.70% 1.00
04/07/04 0.71% 0.93 04/07/04 17.08 17.10 16.94 16.94 -0.81% -2.31% -0.82% 0.98
04/10/04 -1.40% 0.92 04/08/04 17.06 17.16 16.86 16.98 -0.12% 0.24% -0.47% 0.98
04/12/04 -1.36% 0.91 04/12/04 17.06 17.25 16.94 17.10 0.00% 0.71% 0.23% 0.99
04/13/04 -3.01% 0.88 04/13/04 17.24 17.27 16.80 16.86 1.06% -1.40% -2.20% 0.97
04/14/04 0.50% 0.88 04/14/04 16.57 16.65 16.51 16.63 -3.89% -1.36% 0.36% 0.96
04/15/04 -0.86% 0.88 04/15/04 16.47 16.49 15.99 16.13 -0.60% -3.01% -2.06% 0.93
04/17/04 -3.11% 0.85 04/16/04 16.11 16.36 16.10 16.21 -2.19% 0.50% 0.62% 0.94
04/19/04 -3.15% 0.82 04/19/04 16.22 16.27 15.97 16.07 0.68% -0.86% -0.92% 0.93
04/20/04 2.59% 0.84 04/20/04 16.04 16.08 15.57 15.57 -1.11% -3.11% -2.93% 0.90
04/21/04 2.59% 0.86 04/21/04 15.60 15.72 14.82 15.08 -2.74% -3.15% -3.33% 0.87
04/22/04 -1.95% 0.85 04/22/04 15.56 15.56 15.15 15.47 -0.26% 2.59% -0.58% 0.89
04/24/04 0.00% 0.85 04/23/04 15.51 15.92 15.51 15.87 -0.32% 2.59% 2.32% 0.92
04/26/04 -3.66% 0.82 04/26/04 15.95 16.02 15.54 15.56 2.84% -1.95% -2.45% 0.90
04/27/04 -3.60% 0.79 04/27/04 15.59 15.86 15.53 15.56 -2.26% 0.00% -0.19% 0.90
04/28/04 -1.04% 0.78 04/28/04 15.52 15.60 14.90 14.99 -0.45% -3.66% -3.41% 0.86
04/29/04 -0.63% 0.77 04/29/04 14.99 15.00 14.19 14.45 -3.41% -3.60% -3.60% 0.83
05/01/04 1.83% 0.79 04/30/04 14.45 14.50 14.15 14.30 -3.60% -1.04% -1.04% 0.83
05/03/04 1.52% 0.80 05/03/04 14.23 14.35 13.77 14.21 -1.52% -0.63% -0.14% 0.82
05/04/04 -4.83% 0.76 05/04/04 14.45 14.62 14.33 14.47 1.55% 1.83% 0.14% 0.83
05/05/04 -4.22% 0.73 05/05/04 14.76 14.82 14.45 14.69 2.15% 1.52% -0.47% 0.85
05/06/04 -6.72% 0.68 05/06/04 14.34 14.46 13.91 13.98 -2.85% -4.83% -2.51% 0.81
05/08/04 7.53% 0.73 05/07/04 13.50 13.71 13.20 13.39 -5.86% -4.22% -0.81% 0.77
05/10/04 -2.53% 0.71 05/10/04 12.65 12.88 12.13 12.49 -6.30% -6.72% -1.26% 0.72
05/11/04 0.53% 0.72 05/11/04 12.80 13.44 12.75 13.43 1.19% 7.53% 4.92% 0.77
05/12/04 1.06% 0.72 05/12/04 13.33 13.33 12.68 13.09 4.14% -2.53% -1.80% 0.76
05/13/04 -4.51% 0.69 05/13/04 12.73 13.33 12.73 13.16 -4.50% 0.53% 3.38% 0.76
05/15/04 3.46% 0.72 05/14/04 13.59 13.62 13.18 13.30 6.76% 1.06% -2.13% 0.77
05/17/04 0.53% 0.72 05/17/04 12.64 12.88 12.64 12.70 -6.99% -4.51% 0.47% 0.73
05/18/04 -3.48% 0.69 05/18/04 13.08 13.19 12.86 13.14 3.48% 3.46% 0.46% 0.76
05/19/04 -0.16% 0.69 05/19/04 13.46 13.63 13.18 13.21 2.91% 0.53% -1.86% 0.76
05/20/04 3.22% 0.72 05/20/04 13.17 13.17 12.69 12.75 -2.15% -3.48% -3.19% 0.74
05/22/04 2.66% 0.74 05/21/04 12.64 12.86 12.56 12.73 -4.02% -0.16% 0.71% 0.73
05/24/04 -0.07% 0.73 05/24/04 13.02 13.14 12.86 13.14 3.01% 3.22% 0.92% 0.76
05/25/04 3.56% 0.76 05/25/04 13.23 13.49 13.15 13.49 1.61% 2.66% 1.97% 0.78
05/26/04 1.29% 0.77 05/26/04 13.38 13.48 13.29 13.48 1.13% -0.07% 0.75% 0.78
05/27/04 -1.49% 0.76 05/27/04 13.65 14.03 13.60 13.96 2.02% 3.56% 2.27% 0.81
05/29/04 0.57% 0.76 05/28/04 14.22 14.22 13.94 14.14 4.18% 1.29% -0.56% 0.82
06/01/04 -2.64% 0.74 06/01/04 13.81 13.93 13.55 13.93 -2.88% -1.49% 0.87% 0.80
06/02/04 2.27% 0.76 06/02/04 14.10 14.14 14.00 14.01 2.10% 0.57% -0.64% 0.81
06/03/04 3.87% 0.79 06/03/04 13.82 13.83 13.60 13.64 -1.99% -2.64% -1.30% 0.79
06/05/04 -0.55% 0.79 06/04/04 13.93 14.08 13.85 13.95 0.80% 2.27% 0.14% 0.80
06/07/04 -2.98% 0.76 06/07/04 14.22 14.50 14.21 14.49 2.08% 3.87% 1.90% 0.84
06/08/04 0.57% 0.77 06/08/04 14.34 14.45 14.26 14.41 0.84% -0.55% 0.49% 0.83
06/09/04 -3.84% 0.74 06/09/04 14.34 14.34 13.89 13.98 0.00% -2.98% -2.51% 0.81
06/12/04 3.03% 0.76 06/10/04 13.96 14.14 13.93 14.06 -2.65% 0.57% 0.72% 0.81
06/14/04 1.08% 0.77 06/14/04 13.61 13.62 13.46 13.52 -2.51% -3.84% -0.66% 0.78
06/15/04 -0.36% 0.76 06/15/04 13.81 14.03 13.81 13.93 1.47% 3.03% 0.87% 0.80
06/16/04 0.07% 0.77 06/16/04 13.99 14.09 13.79 14.08 1.30% 1.08% 0.64% 0.81
06/17/04 -1.00% 0.76 06/17/04 14.03 14.23 13.90 14.03 0.29% -0.36% 0.00% 0.81
06/19/04 -0.29% 0.76 06/18/04 13.88 14.06 13.88 14.04 -1.07% 0.07% 1.15% 0.81
06/21/04 3.17% 0.78 06/21/04 14.01 14.18 13.90 13.90 0.94% -1.00% -0.79% 0.80
06/22/04 1.26% 0.79 06/22/04 13.99 13.99 13.80 13.86 -0.14% -0.29% -0.93% 0.80
06/23/04 0.07% 0.79 06/23/04 14.01 14.42 13.96 14.30 0.14% 3.17% 2.07% 0.83
06/24/04 -2.62% 0.77 06/24/04 14.57 14.59 14.45 14.48 4.00% 1.26% -0.62% 0.84
06/26/04 2.34% 0.79 06/25/04 14.45 14.60 14.41 14.49 -0.82% 0.07% 0.28% 0.84
06/28/04 1.87% 0.80 06/28/04 14.43 14.46 14.11 14.11 -0.14% -2.62% -2.22% 0.81
06/29/04 1.29% 0.81 06/29/04 14.21 14.44 14.21 14.44 -1.52% 2.34% 1.62% 0.83
06/30/04 1.54% 0.82 06/30/04 14.39 14.74 14.39 14.71 1.27% 1.87% 2.22% 0.85
07/01/04 -2.25% 0.81 07/01/04 14.84 14.90 14.69 14.90 3.13% 1.29% 0.40% 0.86
07/03/04 0.81% 0.81 07/02/04 15.00 15.18 15.00 15.13 1.08% 1.54% 0.87% 0.87
07/06/04 -1.61% 0.80 07/06/04 14.98 15.03 14.76 14.79 -0.13% -2.25% -1.27% 0.85
07/07/04 1.02% 0.81 07/07/04 14.82 15.00 14.75 14.91 -1.07% 0.81% 0.61% 0.86
07/08/04 2.36% 0.83 07/08/04 14.86 14.92 14.64 14.67 0.27% -1.61% -1.28% 0.85
07/10/04 0.07% 0.83 07/09/04 14.76 14.87 14.72 14.82 -0.67% 1.02% 0.41% 0.86
07/12/04 0.72% 0.83 07/12/04 14.89 15.18 14.87 15.17 0.88% 2.36% 1.88% 0.88
07/13/04 2.42% 0.85 07/13/04 15.16 15.22 15.03 15.18 1.81% 0.07% 0.13% 0.88
07/14/04 2.75% 0.88 07/14/04 15.18 15.51 15.15 15.29 0.13% 0.72% 0.72% 0.88
07/15/04 -1.55% 0.86 07/15/04 15.49 15.81 15.48 15.66 2.04% 2.42% 1.10% 0.90
07/17/04 0.51% 0.87 07/16/04 16.03 16.20 15.95 16.09 3.49% 2.75% 0.37% 0.93
07/19/04 -2.64% 0.84 07/19/04 16.12 16.14 15.80 15.84 0.56% -1.55% -1.74% 0.91
07/20/04 -1.94% 0.83 07/20/04 15.80 15.96 15.75 15.92 -1.99% 0.51% 0.76% 0.92
07/21/04 -0.92% 0.82 07/21/04 15.92 15.92 15.43 15.50 0.76% -2.64% -2.64% 0.89
07/22/04 -1.26% 0.81 07/22/04 15.32 15.41 15.09 15.20 -3.77% -1.94% -0.78% 0.88
07/24/04 2.29% 0.83 07/23/04 15.15 15.40 15.02 15.06 -1.11% -0.92% -0.59% 0.87
07/26/04 2.56% 0.85 07/26/04 15.22 15.30 14.73 14.87 0.46% -1.26% -2.30% 0.86
07/27/04 0.58% 0.86 07/27/04 15.06 15.26 14.91 15.21 -1.05% 2.29% 1.00% 0.88
07/28/04 0.38% 0.86 07/28/04 15.21 15.60 15.21 15.60 1.00% 2.56% 2.56% 0.90
07/29/04 -0.32% 0.86 07/29/04 15.69 15.75 15.54 15.69 3.16% 0.58% 0.00% 0.91
07/31/04 0.19% 0.86 07/30/04 15.68 15.98 15.68 15.75 -0.06% 0.38% 0.45% 0.91
08/02/04 -0.45% 0.85 08/02/04 15.54 15.80 15.50 15.70 -0.89% -0.32% 1.03% 0.91
08/03/04 -3.90% 0.82 08/03/04 15.68 15.79 15.68 15.73 0.90% 0.19% 0.32% 0.91
08/04/04 2.79% 0.84 08/04/04 15.64 15.81 15.55 15.66 -0.26% -0.45% 0.13% 0.90
08/05/04 -0.84% 0.84 08/05/04 15.51 15.74 15.05 15.05 -0.83% -3.90% -2.97% 0.87
08/07/04 2.61% 0.86 08/06/04 15.06 15.48 15.06 15.47 -2.90% 2.79% 2.72% 0.89
08/09/04 -0.83% 0.85 08/09/04 15.45 15.45 15.30 15.34 2.59% -0.84% -0.71% 0.89
08/10/04 1.09% 0.86 08/10/04 15.47 15.74 15.47 15.74 0.13% 2.61% 1.75% 0.91
08/11/04 -0.82% 0.85 08/11/04 15.67 15.72 15.53 15.61 1.29% -0.83% -0.38% 0.90
08/12/04 2.43% 0.87 08/12/04 15.80 15.82 15.68 15.78 0.83% 1.09% -0.13% 0.91
08/14/04 1.50% 0.89 08/13/04 15.81 15.83 15.65 15.65 0.06% -0.82% -1.01% 0.90
08/16/04 2.95% 0.91 08/16/04 15.65 16.04 15.64 16.03 -1.01% 2.43% 2.43% 0.92
08/17/04 0.72% 0.92 08/17/04 16.16 16.30 16.12 16.27 3.26% 1.50% 0.68% 0.94
08/18/04 1.60% 0.93 08/18/04 16.19 16.79 16.16 16.75 0.19% 2.95% 3.46% 0.97
08/19/04 -1.63% 0.92 08/19/04 17.00 17.09 16.73 16.87 5.00% 0.72% -0.76% 0.97
08/21/04 -0.24% 0.92 08/20/04 17.09 17.22 16.95 17.14 0.53% 1.60% 0.29% 0.99
08/23/04 0.89% 0.92 08/23/04 17.10 17.10 16.82 16.86 0.06% -1.63% -1.40% 0.97
08/24/04 -2.06% 0.91 08/24/04 17.10 17.45 16.75 16.82 0.00% -0.24% -1.64% 0.97
08/25/04 0.78% 0.91 08/25/04 16.89 17.06 16.75 16.97 -1.23% 0.89% 0.47% 0.98
08/26/04 -0.42% 0.91 08/26/04 16.78 16.88 16.60 16.62 -0.65% -2.06% -0.95% 0.96
08/28/04 1.68% 0.92 08/27/04 16.75 16.78 16.65 16.65 -0.18% 0.18% -0.60% 0.96
08/30/04 0.06% 0.92 08/30/04 16.68 16.89 16.50 16.89 -0.42% 1.44% 1.26% 0.97
08/31/04 -1.24% 0.91 08/31/04 16.96 17.05 16.84 17.02 1.68% 0.77% 0.35% 0.98
09/01/04 1.55% 0.93 09/01/04 16.97 17.08 16.72 16.89 0.06% -0.76% -0.47% 0.97
09/02/04 0.76% 0.93 09/02/04 16.76 17.04 16.75 17.00 -1.24% 0.65% 1.43% 0.98
09/04/04 1.40% 0.95 09/03/04 17.02 17.12 16.92 16.94 1.55% -0.35% -0.47% 0.98
09/07/04 -0.86% 0.94 09/07/04 17.15 17.38 17.10 17.36 0.76% 2.48% 1.22% 1.00
09/08/04 -0.93% 0.93 09/08/04 17.39 17.43 17.20 17.20 1.40% -0.92% -1.09% 0.99
09/09/04 -0.64% 0.92 09/09/04 17.24 17.25 16.93 17.17 -0.86% -0.17% -0.41% 0.99
09/11/04 -0.53% 0.92 09/10/04 17.08 17.08 16.91 16.91 -0.93% -1.51% -1.00% 0.98
09/13/04 2.49% 0.94 09/13/04 16.97 17.14 16.85 16.85 -0.64% -0.35% -0.71% 0.97
09/14/04 1.10% 0.95 09/14/04 16.88 17.20 16.84 17.20 -0.53% 2.08% 1.90% 0.99
09/15/04 1.83% 0.97 09/15/04 17.30 17.43 17.21 17.27 2.49% 0.41% -0.17% 1.00
09/16/04 2.36% 0.99 09/16/04 17.49 17.69 17.34 17.65 1.10% 2.20% 0.91% 1.02

2

You are off by two days.
Steve

EWZ.gif

3

me?

I did nothing special just used the system. I simulate something in excel and C++ and I have very different results in P123. I still investigate the issue.

4

What I am saying is that you are lining up the P123 results and Yahoo calculations side-by-side. Somehow you are off by two days. It isn’t a big problem but you need to think about which day P123 is reporting for and which day you are calculating the Yahoo %change for.

Steve

5

I understand what u r saying.

I try to say that that 2 days translation is on Close2Close and not Open2Open as requested in simulation.

Supplementary still feels that is 1 day gap or instead a trade to be Opened at Open(-1) is opened at Close(-1) probably I’m still investigating this.

6

Simulation:
Eval(Open(-1) / Close(0) - 1 < -0.01, Ticker(“EWZ”), 0)
Price NextOpen
Slipage 0%
01/01/2004 - 01/01/2005
Rebalance Daily

Excel VS P123. I used a black border for the days where it should trade.

P123_EWZ.png
P123_EWZ.png936×1270 141 KB

7

So at begining of the year P123’s trades are from Close(-1) to Close(-2) at end of the year are from Open(-1) to Open(-2) as expected. The trade in 12/23/04 is not taken on P123.

Very strange behavior.

8

The early price history (2003 and previous, maybe 2004 as well) doesn’t have open prices so there was some algorithm for generating an open price. The open could be previous close depending on the price action. I believe this is what you are seeing.

Steve

9

Probable.

I see that: “The trade in 12/23/04 is not taken on P123.” too.

10

I did it for 2014 and works as expected for EWZ. :slight_smile:

11

TYVM Steve for your answers.

Looks like P123 works OK and no action is need it.

12

TYVM Steve for your answers.

Looks like P123 works OK and no action is need it.