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Lionel,
I'll keep that in mind. But my scans, explores and backtests never
click on dead issues. Been using QP for 4 or 5 years and it has not
been a problem.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Lionel Issen" <lissen@xxxx> wrote:
> QP only flags securities whose tickers have changed. During the
> downloading it posts a message that AXXXX is not in the QP database. A
> ticker can be dead for a long time and QP wont notice it.
>
> Lionel
>
>
>
>
>
> -----Original Message-----
> From: phsst [mailto:phsst@x...]
> Sent: Saturday, March 29, 2003 11:28 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Composite Equity Curves (traps for new players)
>
>
> <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 The bad news is that historical reference to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.
>
>
>
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