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<FONT face=Arial
size=2>Peter:
<FONT face=Arial
size=2>
WOW! Thanks for your
detailed description of how you set up your folders and handle. It has many good
ideas for me.
<FONT face=Arial
size=2>
What is ASX
Industry sheet? I guess that it should not be a problem for me to use
it.
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size=2>
I haven't set up my
folders in A to Z form as I am using Quotes Plus as my data provider.
They can only put 255 symbols in each folder, which means I'd have around 30
folders.
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size=2>
Thanks for the
detailed description
<FONT face=Arial
size=2>Regards
<FONT face=Arial
size=2>
<FONT face=Arial
size=2>Lionel
<FONT face=Tahoma
size=2>-----Original Message-----From: amiabilityy
[mailto:amiabilityy@xxxxxxxxx] Sent: Monday, March 31, 2003 7:16
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Composite Equity Curves (traps for new
players)Lionel,I will post it in the files area
soon. I,ll post 2 versions, 1) to compare the last industry
sheet downloaded to a newer version. 2) to compare an industry sheet to an
AMI report list of tickers. The macro is setup for an ASX
Industry sheet as it deletes everything except the normal trading
stocks. If you dont trade the ASX then post me
an industry sheet of the market/s you trade. post what data
you dont want in the list. e.g. indexes, delisted codes, upcoming
floats, e.t.c. email:
amiabilityy@xxxxxxxxx I use this due to my
metastock downloads coming in 26 Ato Z folders, but i can create a custom
folder, and when placed in the data supliers folder will update the
stocks in that custom folder (as well as the A to Z folders) , but it will
not add new additions or delete delisted stocks from the custom
folder. I find it easier (after creating my custom folder of
the data i only need), to run the macro and delete the delisted stocks, and
add the new additions about once a month by downloading a new industry sheet
and run the macro which contains the last industry sheet ticker list, (
it saves this updated tickerlist for the next run). The way in
which the fake data files (i mentioned in my previous post) weed out
the options ,warrants e.t.c. Is by using windows explorer.
This needs to be in the details view, with the date modified and date
created columns showing in the window. Pasting all your text data
files from (folder B) into the folder were the fake tickers were placed
(folder A) will change the date modified times in the date modified column,
and the date created times in the date created column, depending if the
files were overwritten, or the files only existed in the text data files
folder (folderB), or if they only existed in the fake data files folder A).
from this imformation it is easy to select the group of
overwritten files and dragging them into a new folder (folder
C). (folder A) now contains the options warrants delisted
e.t.c. ticker data files, as well as any files that excel created from the
industry group sheet that were not overwritten.
Peter. --- In amibroker@xxxxxxxxxxxxxxx, "Lionel
Issen" <lissen@xxxx> wrote:> Peter:> > Thanks,
I do have Excel. Please do send me your macro> >
Lionel> > > > -----Original
Message-----> From: amiabilityy [mailto:amiabilityy@xxxx] > Sent:
Sunday, March 30, 2003 3:47 AM> To: amibroker@xxxxxxxxxxxxxxx>
Subject: [amibroker] Re: Composite Equity Curves (traps for new
players)> > > 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@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.> > > > > > > > > > > >
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