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Data format specifications

DLPAL DQ can read daily ASCII files with .txt (also .asc extensions can be specified in conversion routines). The data must be in ascending order so that the first line in the file has the oldest date.

Important: File names, excluding the path and the .txt extension, must be less than 26 characters.

The data fields can be single-spacedcomma or semicolon delimited and have the following order:

Date Open High Low Close

with the date in  YYYYMMDD format (example, 20020415). 

The following is part of a valid daily data file with single space delimited fields:

20020927 30.69 30.72 25.25 26.63
20020928 26.38 30.25 25.59 29.88
20020929 29.19 29.63 27.63 27.94
20021002 28 28.19 25.03 25.25
20021003 25.88 26.13 23 23.25
20021004 22.88 24.81 21.81 24.31
20021005 23.88 24.38 20.38 21.5
20021006 20.94 22.5 18.3 20.81

The following is part of a valid daily data file with comma delimited fields:


The following is part of a valid daily data file with semicolon-delimited fields:


Data conversion tools

Three tools for converting daily and intraday ASCII text files between popular formats are provided in the Tools option of the main menu

Sample data files are included in the program setup. You may use a simple text editor such as Wordpad to open those files and view the format.

There are several data vendors that offer software with the capability of downloading and automatically updating data files in the format required by DLPAL DQ. For more information and a list of data vendors look at the support section of our website or contact us. URL: http://www.priceactionlab.com

Note: At least 5 years of daily data is recommended for discovering statistically significant strategies. The more data that is available, the better it is in principle because the power of statistical tests increases.

Using Norgate data with DLPAL DQ

We use Norgate data. For major indexes the data include current and past constituents to remove survivorship bias in backtests. We highly recommend this data service (we do not have a referral arrangement with the company.)

Below is an example of Export Task manager settings for exporting S&P 500 constituent data for use with DLPAL LS in generating daily signals.

We selected the SP500 watchlist in this example but any other list can be used for other scans.

Note that we start exporting after 1999 because the 90s uptrend introduces a long bias in our analysis and in this particular case we do not want that. In other cases, all available history may be desired.

Also note that we elect to Refresh Destination Sub-folders due to index delistings in this case. When generating signals we would like to have only the active symbols in the export list.

In this particular example we export daily data but weekly are also available.

It takes a few minutes every day to update and export the data and then we run DLPAL DQ (actually many instances of the program working with multiple watchlists.)