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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!!
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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: 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?
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-----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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