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HI chuck.
I agree that it is important to backtest with the delisted tickers
to get accurate results.
I have almost finised writing an Excel macro for modifying the
last days price of delisted stocks, the last bar will have the
o,h,l,c all converted to zero, and a value placed in the open
interest or in the Volume array, that could be used as a reference.
The problem with creating a macro for delisted stocks is that
stocks are delisted for different reasons.
My macro opens and modifies the data files ,and saves it
automatically, using a list of these ticker codes.
To create this list i use an updated industry sheet.
The problem is that i could separate all the delisted codes
automatically but there are different reasons for delistings
They either failed, had a takeover, or a namechange.
I don't want to include namechange delistings, as the namechange
delistings history would be in it's newly named ticker.
So these need to be manually selected and deleted, as the column
in the industry sheet (that contains the reasons for the delistings)
is not organised in a way for a macro to select these automatically.
I will be posting the macro on this site.
Peter.
--- 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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