Does anyone have a view on how reliable historical sharescope data is for the DOW. I have been using ot form some backtesting and have just noticed that it varies significantly from other sources
Does anyone have a view on how reliable historical sharescope data is for the DOW. I have been using ot form some backtesting and have just noticed that it varies significantly from other sources
There appear to be two ways Highs and Lows are calculated in the US.
Some sources quote a 'theoretical' high/low and some quote an 'actual' high/low.
The theoretical high/low calculation uses the daily highs for all 30 stocks to calculate the index high and the lows. This method assumes that all 30 constituent shares in the index, hit their high or low at the same time, which is almost never true. (It happens occasionally, usually on big down (or up) days when all 30 stocks close at their lows (or highs) for the day).
In January 1992, Dow Jones started using a second actual method. This calculates the index at 10 second intervals all day long, with the index high and low coming from the highest and lowest of these calculations.
