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But Chuck, I thought you said you only use pre-adjusted shares for
filtering, not for backtesting. For backtesting, you use split shares as
downloaded to get all your backtest performance statistics. I get the impression
from this post that you are also testing with pre-adjusted shares. Once you pick
the stocks that were between $1 and $10 10 years ago, do you backtest them with
that price or do you backtest them with post-split prices? Am I misquoting
you?
AV
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----- Original Message -----
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, June 21, 2003 11:25
PM
Subject: RE: [amibroker] Re: QP2 - actual
and backadjusted prices
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.
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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.
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size=2>
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?
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<FONT face="Times New Roman"
size=2>-----Original Message-----From: Phsst
[mailto:phsst@xxxxxxxxx]Sent: Saturday, June 21, 2003 11:15
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Re: QP2 - actual and backadjusted
pricesChuck,Bear with me while I think out
loud...I have more than one trading system (long and short) which
producevery 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 aneven 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, Ishould expect to find it easier to
ferret out profitable tradingsystems because of the improved probability
of 'hitting' bubblepre-split shooting stars. But the reality is
that by using split adjusted data, the backtestresults should reveal a
'worst case' situation since split-adjusteddata will eliminate many of
the 'shooting stars' that might beregarded 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 thata lot of> people will appreciate learning
about the extra functionality that they> offer.>
-----Original Message-----> From: E Winters
[mailto:e.winters@xxxx]> 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 aswell.> 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 functionswhich 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, itis the>
only data supplier that provides both actual and backadjusted prices
and> volume. I convert the CSI data to MetaStock
format, placing theactual> close in the open interest
column. It is possible to "squeeze"other data> into
the open interest column such as earnings, dividends, etc., butI'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 waswriting 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 theO,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&Pvolume> at any point in the data and
compares it to the 245-day movingaverage 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 befiltering with> a minimum turnover
of $100,000 and currently about $500,000.>
> I hope that answers your questions... now
for that cuppa>
> Yahoo! Groups
Sponsor>
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