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Emsu / prophet

Financial markets analysis framework for programmers
http://prophet.michaelsu.io
BSD 3-Clause "New" or "Revised" License
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[Proposal] Default Price Data Source #14

Open Emsu opened 9 years ago

Emsu commented 9 years ago

Problem

Currently Yahoo Data is being used by default. Specifically adjusted close data to avoid splits breaking people's simulations. However, using adjusted close isn't accurate for backtesting and also seems to have broken tests as dividend and split data looks like it is adjusting price data during the test period.

Solution

I'm currently intending on changing the default price data to use Quandl's WIKI data. Splits and dividends are included in the data set. Unfortunately, the dataset doesn't include all stocks but will allow for a higher quality backtest for stocks it does include. For the serious investor, acquiring a higher quality data source is probably prudent.

z123 commented 9 years ago

Hmm I have been using Yahoo's adjusted close for many of my backtests. Do you mind explaining why adjusted close isn't accurate for backtesting?

Emsu commented 9 years ago

@z123 Correct me if I'm mistaken but because split and dividend data is back adjusted. Your price days before the dividend was announced will incorporate future information. Might not be a big deal for some people but I had a few people email me about it.