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<SPAN
class=936204314-31032003>Peter,
<SPAN
class=936204314-31032003>
Using
the QP plug in there is no need to do this. All data can be read directly from
the QP database (one folder) and the sector assignments are handled
automatically...
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: amiabilityy
[mailto:amiabilityy@xxxxxxxxx]Sent: Monday, March 31, 2003 8:57
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Composite Equity Curves (traps for new players)lionel,
the ASX is the australian stock exchange. I dont like the
26 A to Z folders, this is the way my folders are set up from my data
supplier. I prefer all the files in 1 data
folder. Are the quotes plus data files in text files or do
they get placed directly into AMI's database ? What
market are you trading ?as i would need a industry group sheet of the market
you trade, so i create the macro, that will modify this sheet to create the
ticker list. The industry sheet i am refering to
contains ,the ticker codes the name of the company, the sectors, delistings,
e.t.c. peter.
--- In amibroker@xxxxxxxxxxxxxxx, "Lionel Issen"
<lissen@xxxx> wrote:> Peter:> > WOW! Thanks for
your detailed description of how you set up your folders> and handle.
It has many good ideas for me.> > What is ASX Industry
sheet? I guess that it should not be a problem for> me to use
it.> > 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.> > Thanks for the detailed
description> > Regards> > Lionel>
> -----Original Message-----> From: amiabilityy
[mailto:amiabilityy@xxxx] > Sent: Monday, March 31, 2003 7:16 AM>
To: amibroker@xxxxxxxxxxxxxxx> Subject: [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@xxxx > > 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.> > > > > > > > > > >
> > > > > Yahoo! Groups Sponsor
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