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<FONT face=Arial
size=2>Peter:
<FONT face=Arial
size=2>
Thanks, I do have
Excel. Please do send me your macro
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size=2>
<FONT face=Arial
size=2>Lionel
<FONT face=Tahoma
size=2>-----Original Message-----From: amiabilityy
[mailto:amiabilityy@xxxxxxxxx] Sent: Sunday, March 30, 2003 3:47
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Composite Equity Curves (traps for new
players)LionelIf 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@xxxx] > 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@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!
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