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Most
vendors set O = H = L = C == Ref(C,-1) for zero-V days,
Al.
To do
otherwise would trash most indicators.
<FONT face=Arial
color=#0000ff>
I also use
QP2 so ran your scan on a watch list of stocks with MA(V,10)
>250K.
<FONT
face=Arial color=#0000ff>This 1301-stock list had 22452 errors; 5152
with V==0.
Of the
remaining 17,300, 4300 had V <= 1000 shares; these clearly
could have been a single transaction.
I'm therefore
not surprised by the overall % errors he two tests
showed.
<FONT face=Arial
color=#0000ff>
<FONT face=Arial
color=#0000ff>Bob
<FONT face=Arial
color=#0000ff>
<FONT
face=Tahoma>-----Original Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]Sent: Thursday, July 03, 2003 7:34
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
H=L and V=0
Thanks, Graham. I use QP2 EOD data, so I
thought the QP2 folks eliminated what you call 'padded' data. I'll write them
an email and ask.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=gkavanagh@xxxxxxxxxxxxx
href="">Graham
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, July 03, 2003 10:30
PM
Subject: RE: [amibroker] H=L and
V=0
Sounds like your
data you receive is padded, ie non traded days are included in the data as
zero volume and the C = yesterdays close with o=h=l=c
This is common
in Australia to use this form, but I don't know if used anywhere
else.
<o:SmartTagType
name="PersonName"
namespaceuri="urn:schemas-microsoft-com:office:smarttags"><FONT
face="Times New Roman" color=#008080
size=3>
<B
><I
><SPAN
>Cheers<SPAN
class=GramE>,<st1:PersonName
><B
><I
><SPAN
>Graham
<A
href=""><SPAN
>http://groups.msn.com/ASXShareTrading
<A
href=""><SPAN
>http://groups.msn.com/FMSAustralia
<FONT
face=Tahoma size=2>-----Original Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx] Sent: Friday, 4 July 2003 10:22
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
H=L and V=0
Hi, everyone:
Tonight, I thought I'd do a quickie exploration of a watchlist
containing almost 800 stocks (range setting on all quotations). I was
interested in finding out how many times the high was equal to the low or
the volume equaled 0. I used the following exploration:
Buy=Sell=Short=Cover=<FONT color=#ff6820
size=2>0;Error = H==L<FONT
face="Microsoft Sans Serif" size=2> OR V==<FONT
face="Microsoft Sans Serif" color=#ff6820 size=2>0<FONT
face="Microsoft Sans Serif" size=2>;<FONT color=#0000ff
size=2>AddColumn(H,<FONT color=#ff00ff
size=2>"H",<FONT color=#ff6820
size=2>1.2);<FONT color=#0000ff
size=2>AddColumn(L,<FONT color=#ff00ff
size=2>"L",<FONT color=#ff6820
size=2>1.2);<FONT
face="Microsoft Sans Serif" color=#0000ff size=2>AddColumn<FONT
face="Microsoft Sans Serif" size=2>(V,<FONT
face="Microsoft Sans Serif" color=#ff00ff size=2>"V"<FONT
face="Microsoft Sans Serif" size=2>,<FONT
face="Microsoft Sans Serif" color=#ff6820 size=2>1<FONT
face="Microsoft Sans Serif" size=2>);<FONT color=#0000ff
size=2>AddColumn(Error,<FONT color=#ff00ff
size=2>"Bad Price Patterns",<FONT color=#ff6820
size=2>1);<FONT face="Microsoft Sans Serif"
size=2>Filter=Error><FONT face="Microsoft Sans Serif"
color=#ff6820 size=2>0<FONT face="Microsoft Sans Serif"
size=2>;
To my surprise, I found over 13,000 instances of H==L and almost
2,700 instances of V==0. On the days when V==0, the H and L were also
equal. So, those days were truly bad data (or non-trade) days. However, in
the other 10,000+ instances when H==L, there was legitimate volume,
sometimes high volume. What does it mean when the price bars are all equal
(O=H=L=C), yet volume was finite?
Al Venosa
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