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Thanks, Bob, for the explanation of what
data vendors do for V==0 days. I didn't know that. My list, too, was originally
created using ma(V,50)>250,000. Your explanation for days when H==L AND V==0
is good and I feel confident in deleting those days completely (although I don't
know how, do you?). The real problem is what to do about those majority of days
when H==L, yet the volume was normal. You confirmed this yourself. Are those
real trading days? What does it mean when the high and low are the same and the
volume appears normal? Are these real errors by QP2? If not, do we just assume
them to be correct and go our merry way?
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Bob Jagow
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, July 04, 2003 1:49 AM
Subject: RE: [amibroker] H=L and
V=0
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.
<SPAN
class=315273903-04072003>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
namespaceuri="urn:schemas-microsoft-com:office:smarttags"
name="PersonName"><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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