Data sources - Norgate vs. Yahoo

[julo]

Hello,

I am newbie and currently I do exploration of various data sources. I am considering Norgate and Yahoo for my purposes and I have several questions about them. My aim is trading mainly stocks on daily/weekly timeframe, so do not need any real-time data.

Does Norgate store all data in local databases? Can all this data be exported? I want to know whether I can access historical data even after my Norgate subscription ends.

I noticed that Yahoo finance provides adjusted data as well. Is this data reliable?

Based on my research I found out that main advantage of Norgate over Yahoo is that it has information about delisted stocks. Does ignoring of delisted stock change backtest results dramatically? I am aware of survivorship bias, but I am not sure how big impact does it have on annual returns (e.g. I don’t mind the drop of 5 % if my actual return would be 30 %).

Thanks for any reactions!

 

[Richard Dale]

Access to the data within Norgate Data ceases when you subscription ends.

Not using the delisted stocks invalidates your backtest completely.

Here's an example of a simple momentum system that went from an annual return of 46% and max drawdown of 41% to an annual return of 16.4% and max drawdown of 83%:
https://www.priceactionlab.com/Blog/2020/06/survivorship-bias-cross-sectional-momentum/

Big impact? Yes, massive.

 

[wayneL]

I've used both, Norgate hands down IMO.

 

[Nameless_]

I'm also interested about Norgate data - especially the current Silver (10 years), Gold (20 years), and Platinum (from 1992 year Platinum packages).

Question:
Does the 10 year packages only have current listed equities without the historical delisted equities?
I.e. Should we not backtest with the 10 year data because it may cause survivorship bias?

I'm also of thinking of buying the one-off the (legacy) Premium data historical package from 1992 - it doesn't say on the website, but does that one also have historical delisted equities and can we backtest using that?

From my understanding, the one-off historical package you can keep and backtest.
Would there be an issue if I buy the 10 year data subscription from Norgate data + the Historical data from Premium data (that I can keep and backtest) for use in Amibroker?

Hope my questions make sense.

 

[Richard Dale]

Hi Nameless_,

The Silver and Gold packages do not have delisted data and access to historical index constituents - only the Platinum package has this. Therefore, survivorship bias is present at the Silver and Gold levels.

The historical data on the Premium Data web site does not have delisted stocks.

It's not possible to combine the two - they are quite different products.