Missing data


1 0

I’ve download historical EOD from yahoo and I have noticed missing bars in some of the data. Typically, there are 5 - 20 missing bars for each symbol over a 10-year period. The only symbol (from the FTSE 100) that does not have any missing data is Reuters, who ironically, supply Yahoo with the data…

I am guessing that most of the missing bars should be present, with only a few of bars missing because the symbol wasn’t trading on that day?

If missing data is due to the symbol not trading on that day - how should I cope with this missing day in a backtest? Just skip over the bar? Or do something else?




1 0

Yahoo has been a bit slow at updating its historic data recently. Some days that were eventually added disappeared later! This has left genuine holes in the data, which is worth about what you pay for it.


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