Historic Stock Price Data
Algorithm Science
Trading Strategy Discovery
Historic stock price data is currently imported from finance.yahoo.com (previous versions used Google stock price data, but this was problematic). The available prices are Open, High, Low, Close and Volume. We don't currently use volume data in the analysis.
Certain changes are made to the data before presenting it on the Strategy and Analysis tab. You can look on the Data Prep tab to see the changes. On the right is the raw data, on the left is the processed data. First we check for any days that have a zero price in any position. These days are excluded from the analysis and a warning is given. Days with zero volume are also skipped, however if all volumes are zero, the data is probably a mutual fund, so no days are skipped. If a day has a date which is duplicated, the first of the duplicates is skipped over.
If less than 264 days are found, a warning is generated. Gaps of 4 or more days are flagged and a warning generated. If an opening price changes the price by more than 50%, a warning is generated.
As well as the price data, we request a table of the splits and dividends from the provider. Usually this is available, but if not a warning is generated. If splits are detected and no split table was provided, we also give a warning. Prices are always adjusted for splits if the split table is available, but are only adjusted for dividends if the user requests it from the control panel.
Its a fact of life that for all the error checking, there are sometimes inaccuracies in the source data. Always check the data for correctness. Cross checking with Google historic data is one way.
Certain changes are made to the data before presenting it on the Strategy and Analysis tab. You can look on the Data Prep tab to see the changes. On the right is the raw data, on the left is the processed data. First we check for any days that have a zero price in any position. These days are excluded from the analysis and a warning is given. Days with zero volume are also skipped, however if all volumes are zero, the data is probably a mutual fund, so no days are skipped. If a day has a date which is duplicated, the first of the duplicates is skipped over.
If less than 264 days are found, a warning is generated. Gaps of 4 or more days are flagged and a warning generated. If an opening price changes the price by more than 50%, a warning is generated.
As well as the price data, we request a table of the splits and dividends from the provider. Usually this is available, but if not a warning is generated. If splits are detected and no split table was provided, we also give a warning. Prices are always adjusted for splits if the split table is available, but are only adjusted for dividends if the user requests it from the control panel.
Its a fact of life that for all the error checking, there are sometimes inaccuracies in the source data. Always check the data for correctness. Cross checking with Google historic data is one way.
