Hi!
I've tried running my own back test engine with Yahoo historical data from 2008.01.04 to 2014.07.28 and got the final total returns = 60% (using Yahoo's adjusted closing price), but when I run the back test on quantopian with the same date range then I got 56.39%. The difference is not that small enough to ignore...
I am wondering which result is more relatively "accurate"? And why the benchmark result on quatopian is lower than using the Yahoo's historical data.
Thanks a lot!
LK
Hi LK,
The difference in results stems from the way the data is derived. Quantopian's data is adjusted for splits and merger activities, but does not incorporate dividend data. Our trade data is for the market hours and does not include the pre-open or closing auction price activities.
I'm not sure how Yahoo calculates and reports the data. I believe they adjust for splits, mergers, and dividends, which could contribute to some of the result differences you're seeing. If you want to run their data against our backtest, take a look at Zipline. It's our open-sourced backtest engine that powers the IDE. You can download it to your local machine and use Yahoo's data to run backtests. If you're feeling inspired you can always add to the code base!
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
