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Re: [amibroker] Re: QP2 - actual and backadjusted prices



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I never said it was hard, Chuck! Now that you've provided a better 
explanation of how you are doing things, it is clearer what you are doing. 
G'day, mate!!
 
 
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  <A title=chuck_rademacher@xxxxxxxxxx 
  href="">Chuck Rademacher 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Sunday, June 22, 2003 3:18 PM
  Subject: RE: [amibroker] Re: QP2 - actual 
  and backadjusted prices
  
  hhmm... I don't 
  know where the confusion is coming from, but I'll try 
  again.
  <FONT face=Arial 
  size=2> 
  Every record in my 
  database constains O,H,L,C,V and OI.
  <FONT face=Arial 
  size=2> 
  O,H,L,C are 
  backadjusted prices, similar to what you would see in VectorVest, TC2000 and 
  just about every other data source.
  <FONT face=Arial 
  size=2> 
  My V field 
  contains actual volume.  I have no need for backadjusted 
  volume.
  <FONT face=Arial 
  size=2> 
  My OI field 
  contains the actual close on the day.
  <FONT face=Arial 
  size=2> 
  So... something 
  like RSI in AB will use backadjusted prices, all smoothed out, compensating 
  for splits, dividends, etc.
  <FONT face=Arial 
  size=2> 
  My filter will use 
  the OI field.    So a buy statement could 
  say:
  <FONT face=Arial 
  size=2> 
  Buy = OI > 100 
  and Volume > 300000 and RSI() < 20;    // OI contains 
  actual close, Volume contains actual volume and RSI is going to use the 
  value in the close column.
  <FONT face=Arial 
  size=2> 
  If I want to use 
  average actual turnover in my filter, I could say:
  <FONT face=Arial 
  size=2> 
  Buy = OI > 100 
  and MA(Volume * OI / 100) > 400000 and RSI() < 20;   
  //   OI = 100 = $1.00
  <FONT face=Arial 
  size=2> 
  The "picking" and 
  the "backtesting" are all done in one line of code.
  <FONT face=Arial 
  size=2> 
  How hard can it 
  be?
  <BLOCKQUOTE 
  >
    -----Original 
    Message-----From: Al Venosa 
    [mailto:advenosa@xxxxxxxxxxxx]Sent: Sunday, June 22, 2003 8:19 
    AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: 
    [amibroker] Re: QP2 - actual and backadjusted prices
    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
     
     
    <BLOCKQUOTE 
    >
      ----- 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
      
      <FONT face=Arial color=#0000ff 
      size=2>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.
      <FONT face=Arial color=#0000ff 
      size=2> 
      <FONT face=Arial color=#0000ff 
      size=2>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.
      <FONT face=Arial color=#0000ff 
      size=2> 
      <FONT face=Arial color=#0000ff 
      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?
      <FONT face=Arial color=#0000ff 
      size=2> 
      <FONT face=Arial color=#0000ff 
      size=2> 
      <BLOCKQUOTE 
      >
        <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> 
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