Data integrity

   Hi
There appear to be no adjustment factors before 2000, and some of the subsequent adjustment factors are missing. This makes back-testing prior to 2000 essentially useless, and renders backtesting after that time suspect. 
Example: AAT undertook a 4:1 share split on 20/9/99. The dataset has a closing price of $4.00 on that date. The next closing price is $1.02 on 6/10/99. A properly adjusted data-set would adjust for this.
The best fix is probably to use Metastock data. However this has its own problems, since it does not allow the data to easily be dividend-adjusted. To see why dividend adjustment is necessary, refer to the following article. 
www.trendfollowing.com/whitepaper/Does_trendfollowing_work_on_stocks.pdf 
Has enyone else noted this problem and / or obtained a fix? Does anyone know where to purchase dividend-adjusted Metastock data?

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edstar Members Profile Send Private Message Find Members Posts Add to Buddy List Newbie Joined: 20 Sep 2006 Posts: 2	Post Options Post Reply Quote edstar Report Post Quote Reply Topic: Data integrity Posted: 20 Sep 2006 at 4:06pm
	Hi There appear to be no adjustment factors before 2000, and some of the subsequent adjustment factors are missing. This makes back-testing prior to 2000 essentially useless, and renders backtesting after that time suspect. Example: AAT undertook a 4:1 share split on 20/9/99. The dataset has a closing price of $4.00 on that date. The next closing price is $1.02 on 6/10/99. A properly adjusted data-set would adjust for this. The best fix is probably to use Metastock data. However this has its own problems, since it does not allow the data to easily be dividend-adjusted. To see why dividend adjustment is necessary, refer to the following article. www.trendfollowing.com/whitepaper/Does_trendfollowing_work_on_stocks.pdf Has enyone else noted this problem and / or obtained a fix? Does anyone know where to purchase dividend-adjusted Metastock data?

scrooge Members Profile Send Private Message Find Members Posts Add to Buddy List Newbie Joined: 27 Jun 2006 Posts: 13	Post Options Post Reply Quote scrooge Report Post Quote Reply Posted: 21 Sep 2006 at 7:13am
	I have noticed problems with the data integrity but I can't offer a solution other than e-mailing info@bullsystems.com.au and asking Brendon for his comments. The lack of pre 2001 adjustments is one thing, the missing adjustments later than that are inexcusable in my opinion. An example is missing name changes in 2006 (MRS/MON, SEE/MUT, TGD/FNT, NMC/IAU). These were caused by a system problem which also affected RCD/AFG. RCD/AFG was adjusted some other way because someone kept e-mailing and asking for something to be done.

scrooge Members Profile Send Private Message Find Members Posts Add to Buddy List Newbie Joined: 27 Jun 2006 Posts: 13	Post Options Post Reply Quote scrooge Report Post Quote Reply Posted: 21 Sep 2006 at 1:41pm
	Another problem I have found is with NHC which was listed on 16/9/03. There is data prior to this which is nothing to do with NHC (possibly back door listing?), share price falls from about 5.50 to about 0.50 on the listing date! And another with VKI capital restructure 12/4/02. Edited by scrooge

edstar Members Profile Send Private Message Find Members Posts Add to Buddy List Newbie Joined: 20 Sep 2006 Posts: 2	Post Options Post Reply Quote edstar Report Post Quote Reply Posted: 30 Sep 2006 at 5:59pm
	The solution I think is to get data from somwhere else. The list of errors is too high. I have obtained Metastock data and sucessfully adjusted it. es

scrooge Members Profile Send Private Message Find Members Posts Add to Buddy List Newbie Joined: 27 Jun 2006 Posts: 13	Post Options Post Reply Quote scrooge Report Post Quote Reply Posted: 01 Oct 2006 at 8:51am
	Shame to have to get data from two sources though isn't it

Jester Members Profile Send Private Message Find Members Posts Add to Buddy List Newbie Joined: 06 Jun 2007 Posts: 11	Post Options Post Reply Quote Jester Report Post Quote Reply Posted: 06 Jun 2007 at 5:12pm
	Just started using Bullcharts and I am impressed but I am wondering how good is the data quality now. Does anybody have an opion? The last post in this thread was almost 10 months ago.

scrooge Members Profile Send Private Message Find Members Posts Add to Buddy List Newbie Joined: 27 Jun 2006 Posts: 13	Post Options Post Reply Quote scrooge Report Post Quote Reply Posted: 08 Jun 2007 at 9:31am
	I don't think the errors I have pointed out above have been corrected except NHC. Reach your own conclusions!

Jester Members Profile Send Private Message Find Members Posts Add to Buddy List Newbie Joined: 06 Jun 2007 Posts: 11	Post Options Post Reply Quote Jester Report Post Quote Reply Posted: 08 Jun 2007 at 10:53am
	Thanks Edited by Jester

hellodolly Members Profile Send Private Message Find Members Posts Add to Buddy List Newbie Joined: 29 May 2007 Location: Australia Posts: 2	Post Options Post Reply Quote hellodolly Report Post Quote Reply Posted: 16 Jun 2007 at 12:12pm
	Hello I tried the link to your suggested article. Didn't work. What am I doing wrong? thks