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I should have
mentioned that I am using Metastock and at least once a month I run an
exploration that identifies stocks that have not been updated at the end
of the current day. The exploration also identifies the folder where the
ticker is located.This list is always much longer than the QP list of
unidentified tickers.
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size=2>
QP told me that they
only identify tickers whose name has changed.
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<FONT face=Arial
size=2>Lionel
<FONT face=Tahoma
size=2>-----Original Message-----From: phsst [mailto:phsst@xxxxxxxxx]
Sent: Saturday, March 29, 2003 3:30 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: Composite Equity
Curves (traps for new players)Lionel,I'll keep
that in mind. But my scans, explores and backtests neverclick on dead
issues. Been using QP for 4 or 5 years and it has notbeen 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@xxxx] > 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 The bad news is that historical reference to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.> > > > Yahoo! Groups
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