Hello,

I am a newbie on the platform so I might be missing some points. I am trying to implement a momentum strategy based on price change over 4 weeks (and some fundamentals), and while debugging my code I found out that some historical price data looks strange.

This is what I get using: history = self.History(symbols, timedelta(days=4*7), Resolution.Daily) 

within a backtest and first step on 25/1/2019

For example for SNX stock:

25/1/2019: SNX price 48.01 (yahoo), 37.07 (history QC)
28/12/2018 (4 weeks earlier): SNX price 40.03 (yahoo), 31.82 (history QC)

I checked and I see only one stock split 2:1 in Jan 2020, so it does not seem to explain the difference.

Any idea of what is wrong?

Thanks for your help,

 

 

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