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I'll sleep on it. I may have to do some due diligence on the number of
reverse splits versus regular splits to verify your contention that
there are as many reverse splits as normal splits.
But as usual, you have challanged a fellow trader to think outside the
box... Thanks.
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> Your theory is excellent, except for the scenario of reverse splits.
There
> are as many reverse splits going on right now as there has been normal
> splits in the past. A reverse split happens when a company decides
that the
> price of their shares is too low. Perhaps they are going to be
kicked out
> of the NASDAQ or S&P, whatever. So, they reverse split the price of
their
> shares. I'm looking at one at the moment where the actual price is
only
> 10% of the backadjusted price. That's somewhat typical. The
price goes
> below one dollar (say 0.80), so they reverse split the stock to make it
> $8.00. That makes the backadjusted price of their shares $850 in 1997
> instead of $85.
>
> I wouldn't worry whether using actual (correct?) prices and volumes for
> filtering is going to give you better or worse results. It will
give you
> more accurate results.
>
> If you only want to trade shares between $1 and $10 today, I assume
that ten
> years ago you would have only wanted to trade shares between $1 and $10.
> Why not let your systems look at the same shares in your backtest
that you
> would have considered on the day?
>
>
> -----Original Message-----
> From: Phsst [mailto:phsst@x...]
> Sent: Saturday, June 21, 2003 11:15 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: QP2 - actual and backadjusted prices
>
>
> Chuck,
>
> Bear with me while I think out loud...
>
> I have more than one trading system (long and short) which produce
> very good backtest results (along with verified real trading results)
> using split-adjusted data.
>
> If I revert to raw (non-split adjusted) data, I'll probably see an
> even better return since my systems are filtered on price and volume,
> and I'll probably pick up even more 'tech bubble' pre-split trades.
>
> And as I develope even more trading systems which now use raw data, I
> should expect to find it easier to ferret out profitable trading
> systems because of the improved probability of 'hitting' bubble
> pre-split shooting stars.
>
> But the reality is that by using split adjusted data, the backtest
> results should reveal a 'worst case' situation since split-adjusted
> data will eliminate many of the 'shooting stars' that might be
> regarded as once in a decade (or even once in a century) situations.
>
> It is late here... where is my thinking screwed up?
>
> Phsst
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> <chuck_rademacher@x> wrote:
> > Thanks, Ed.
> >
> > Learn something new every day. I don't use QP2, but I'm sure that
> a lot of
> > people will appreciate learning about the extra functionality
that they
> > offer.
> > -----Original Message-----
> > From: E Winters [mailto:e.winters@x...]
> > Sent: Saturday, June 21, 2003 7:12 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: Re: [amibroker] Re: Historical volume filtering
> >
> >
> > Chuck,
> > QP2 maintains split adjusted and unadjusted prices and volumes as
> well.
> > Amibroker has a plugin for QP2 but I don't think it currently
has the
> > ability to retrieve the Raw data, but there are Excel functions
> which can
> > retrieve the unadjusted prices and volumes.
> > Regards,
> > Ed
> > ----- Original Message -----
> > From: Chuck Rademacher
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Saturday, June 21, 2003 1:58 PM
> > Subject: RE: [amibroker] Re: Historical volume filtering
> >
> >
> > Mornin' Al,
> >
> > My first email for the day and I haven't had my cuppa yet!
> >
> > I get my data from CSI Unfair Advantage. To my knowledge, it
> is the
> > only data supplier that provides both actual and backadjusted
prices and
> > volume. I convert the CSI data to MetaStock format, placing the
> actual
> > close in the open interest column. It is possible to "squeeze"
> other data
> > into the open interest column such as earnings, dividends, etc., but
> I'm not
> > at the moment. Since open interest is an integer field, I
multiply the
> > actual close by 100 before placing it in the field. If I was
> writing some
> > AFL to filter price and volume, I might say something like:
> >
> > BuyOK = OI > 100 and Volume > 200000; // 100 = $1
> > ShortOK = OI > 600 and Volume > 300000; // 600 = $6
> >
> > I'm afraid that I don't understand your question about
segmenting
> > stocks. I simply have actual and backadjusted prices all in the
> O,H,L,C,V
> > and OI fields in the MetaStock data.
> >
> > As to your first question, I came up with something that
works for
> > scaling the turnover filter. It is the most basic solution and the
> > mathematicians would be quite critical of it.... but it works:
> >
> > LB = BarIndex()-245;
> > SPXVol = Foreign(".SPX","Volume",fixup=1);
> > CurrentSPXVolAvg = MA(SPXVol,245);
> > BaseSPXVolAvg = Ref(MA(SPXVol,245),-LB);
> > VolRatio = CurrentSPXVolAvg / BaseSPXVolAvg;
> > MinTurnover = 100000 * (VolRatio / 3);
> >
> > The above basically calculates the 245-day moving average of S&P
> volume
> > at any point in the data and compares it to the 245-day moving
> average in
> > the first year of data. That ratio then gets divided by three
> (arbitrary)
> > and multiplied by 100000. The effect is, in 1985 I would be
> filtering with
> > a minimum turnover of $100,000 and currently about $500,000.
> >
> > I hope that answers your questions... now for that cuppa
> >
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