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QP only flags
securities whose tickers have changed. During the downloading it
posts a message that AXXXX is not in the QP database. <SPAN
class=517242918-29032003> A ticker can be dead for
a long time and QP wont notice it.
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<FONT face=Arial
size=2>Lionel
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size=2>
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<FONT face=Tahoma
size=2>-----Original Message-----From: phsst [mailto:phsst@xxxxxxxxx]
Sent: Saturday, March 29, 2003 11:28 AMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: Composite Equity
Curves (traps for new players)<As extinct stocks
ceased trading, their equity went to zero. Wherethis really showed up was
when the system purchased BVSN for $10,000and 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 tohave ever gone extinct.What is your data
source?Thinking about it, QP does apparently eliminate extinct stocks
fromtheir database (since in 1999 there approx. 10,500 and now there
isconsiderably less than that number in the database). And QP adjuststhe
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 mostother data
sources. The bad news is that historical reference toactual trading data is
lost on extinct stocks.My own preference would be to have the clean data
rather than havingto engage in coding contortions and extensive debugging
efforts towork 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 yearsof 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 mixthroughout the> backtest.
Every time a new stock started trading, my equity curveshot up> by
the amount of the initial capital. I cured this problem byusing
the> following statement:> > AddToComposite
(Equity()-10000, "~CompositeEquity", "X", 7) (where10000>
is my initial capital)> > > I have spent just under 50
straight hours trying to find and fix thenext> 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
realizedquicker> than I did what was happening. Now that
I've found and fixed theproblem,> I thought that I would share it
with you. Of course, I doubt thatmany of> you are backtesting
extinct stocks... but you should be!!> > In order to fix the
problem, I had to "manufacture" trailing pricedata 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 simplyrepeated
the> last real close for the open, high, low and close for each
missingday. 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 inorder to> see how your systems really
would have behaved five, eight or tenyears ago.> > By the way,
I place the "real" closing price in the open interestfield in> order
to do filtering based on price. You can't really be
seriousabout> filtering out stocks trading below (say) $1 when you
are usingbackadjusted> data unless you do something similar to what
I've done.> > Now... I think I can get on with my real
work.Send
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