Where Should I Get Data From?
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I was using yfinance to collect my data, but the data is highly inaccurate. I would love to hear some suggestions on where to obtain accurate data from. I'm using Backtrader for backtesting only, so I shouldn't need to access new data every day. I think I'll only need to download a large amount of data once (maybe 25 years on all SP500 stocks).
Thanks for any feedback!
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@Z , I download my data from Alphavantage, because I can get splits and dividends
explicitly called out on the days even in the free version. I don’t like using adjusted data. But due to the API call limit of 5 per minute, I wrote a background downloader. And data quality is not great either. -
@Reinke I'm very new to backtesting (and trading in general I guess) with no real knowledge of statistics, what would be the disadvantage of using adjusted data vs. unadjusted with splits and dividends? Also new to coding lol trying to figure out how to use backtrader so that I can avoid manually backtesting due to the fact that with manual testing the amount of data you're testing is much less and therefore could be highly inaccurate on how good a strategy is. It's a journey for sure, but 1 step at a time I suppose.
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@Z I think in most jurisdictions tax treatment of dividends vs unrealized gains or even vs realized gains is different. So if you simulate cash outflows for taxes it makes a difference for some strategies. If your commission is calculated on per share basis, it’s important to know when the split happened.
It might not be your biggest priority right now. For feeding the indicators I mostly use
the adjusted close as well. -
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Z