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Trading Statistics
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* Please note: Some of the entry and exit prices may not be consitent with historical data that is currently available from various data providers. This is because data providers sometimes switch data sets, or switch between using bid and ask, or update previous prices when dividends are issued. Some data providers also adjust for splits and dividends in their own way. Yahoo's adjusted close column has not been accurate since they re-wrote the Finance website. For example, for years 2005-2012, some dates seem to be a few percentages lower than what is shown in Yahoo Historical Data. Since then, the historical prices seem to have changed significantly..
Other reasons for price differences:
1. Vendor and data source
Basically, data providers such as Google and Yahoo redistribute EOD data by aggregating data from their vendors. Although the raw data is taken from the same exchanges, different vendors tend to collect them through different trading platforms. For example, Yahoo, is getting stock data from Hemscott (which was acquired by Morningstar), which is not the most accurate source of EOD stocks. Google gets data from Deutsche Börse.
To make the process more complicated, each vendor can choose to get EOD data from another EOD data provider or the exchange itself, or they can produce their own open, high, low, close and volume from the actual trade tick-data, and these data may come from any exchanges.
2. Price Adjustment
For equities data, the re-distributor usually adjusts the raw data by applying certain customized procedures. This includes adjustment for corporate actions, such as dividends and splits. For futures data, rolling is required, and back-ward and for-warding rolling can be chosen. Different adjustment methods can lead to different price display.
3. Extended trading hours
Along with the growth of electronic trading, many market tends to trade during extended hours, such as pre-open and post-close trading periods. Futures and FX markets even trade around the clock. This leads to another freedom in price reporting: whether to include the price movement during the extended trading hours.
If you have any additional questions or concerns, please write to
info@MechanicalMarketTiming.com