|
PureBytes Links
Trading Reference Links
|
<As extinct stocks ceased trading, their equity went to zero. Where
this really showed up was when the system purchased BVSN for $10,000
and sold it for $243,000. A week later, the $243,000 became zero.>
Chuck,
My QP database shows BVSN with intact data, ie. it doesn't appear to
have ever gone extinct.
What is your data source?
Thinking about it, QP does apparently eliminate extinct stocks from
their database (since in 1999 there approx. 10,500 and now there is
considerably less than that number in the database). And QP adjusts
the data for splits and makes data repairs that are reported by users.
The good news is that QP's database is pretty clean relative to most
other data sources. The bad news is that historical reference to
actual trading data is lost on extinct stocks.
My own preference would be to have the clean data rather than having
to engage in coding contortions and extensive debugging efforts to
work around stale data.... JMO.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> I thought that I would share some of my trials and tribulations using
> AmiBroker with other members of this group.
>
> In order for you to appreciate the problems that I was encountering,
I need
> to describe my environment:
>
> 1. I'm backtesting systems over 14,000 (or so) stocks and 12 years
of data.
>
> 2. More than half of the stocks are now extinct (no longer trade).
>
> 3. I am a "newbie" to AmiBroker, but not system trading.
>
> Last week, I mentioned the first problem that I encountered. My equity
> curve was climbing during periods when I knew the system wasn't making
> money. This was caused by new stocks entering into the mix
throughout the
> backtest. Every time a new stock started trading, my equity curve
shot up
> by the amount of the initial capital. I cured this problem by
using the
> following statement:
>
> AddToComposite (Equity()-10000, "~CompositeEquity", "X", 7) (where
10000
> is my initial capital)
>
>
> I have spent just under 50 straight hours trying to find and fix the
next
> problem. As extinct stocks ceased trading, their equity went to zero.
> Where this really showed up was when the system purchased BVSN for
$10,000
> and sold it for $243,000. A week later, the $243,000 became zero.
>
> Maybe some of you younger dudes (and dudesses) would have realized
quicker
> than I did what was happening. Now that I've found and fixed the
problem,
> I thought that I would share it with you. Of course, I doubt that
many of
> you are backtesting extinct stocks... but you should be!!
>
> In order to fix the problem, I had to "manufacture" trailing price
data for
> each stock after it ceased trading. I used IBM as my date template and
> created one day of price data for each missing day. I simply
repeated the
> last real close for the open, high, low and close for each missing
day. I
> set the volume to zero to make sure that I don't accidentally trade it
> again.
>
> This works fine, but was a bit of a challenge.
>
> So, now you have no excuse for not backtesting extinct stocks in
order to
> see how your systems really would have behaved five, eight or ten
years ago.
>
> By the way, I place the "real" closing price in the open interest
field in
> order to do filtering based on price. You can't really be serious
about
> filtering out stocks trading below (say) $1 when you are using
backadjusted
> data unless you do something similar to what I've done.
>
> Now... I think I can get on with my real work.
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Make Money Online Auctions! Make $500.00 or We Will Give You Thirty Dollars for Trying!
http://us.click.yahoo.com/yMx78A/fNtFAA/i5gGAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|