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Lionel
If you have excel 'i have a macro that creates a list of new
delisted stocks or new listed stocks by either comparing the last
industry group sheet that was used, to a new industry sheet.
or compare the tickers in the AMI database by exporting the
results after running an AA in ami ( buy=cum(1)==1;)to get a list of
each ticker in the ami database.
Then the macro will compare the ami list to the new updated
industry sheet.(The macro automatically deletes non trading stocks,
indexes, delisted codes e.t.c. )
When the macro finishes it has 1 column of the tickers , a column
of the new listings and a column of the new delistings.
This is saved in the workbook to compare this to the next updated
group sheet.
It also automatically creates fake text files of the tickers in
this list, saves these in a folder ,the data in the file is useless,
but i use the actual file name to weed out the delisted stocks, also
can be used to separate tickers from option warrants e.t.c.
peter.
--- In amibroker@xxxxxxxxxxxxxxx, "Lionel Issen" <lissen@xxxx> wrote:
> 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.
>
> QP told me that they only identify tickers whose name has changed.
>
> Lionel
>
>
>
> -----Original Message-----
> From: phsst [mailto:phsst@x...]
> Sent: Saturday, March 29, 2003 3:30 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Composite Equity Curves (traps for new
players)
>
>
> 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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