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RE: [amibroker] H=L and V=0



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You can delete the 
zero volume days from the AB database, but the only 2 methods I can think of 
require each stock, or a group of stocks done individually
1. Quote editor in 
AB, sort by volume column and highlight the zero volume days and delete (each 
chart individually)
2. Export the data 
to excel and delete the zero volume days (linited by the number of rows in 
excel) and save as csv files. Then delete the database and re-import the 
data.
 
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<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 9:32 
  PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] 
  H=L and V=0
  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 
        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 OR 
          V==<FONT face="Microsoft Sans Serif" color=#ff6820 
          size=2>0<FONT face="Microsoft Sans Serif" 
          size=2>;AddColumn<FONT 
          size=2>(H,"H"<FONT 
          size=2>,1.2<FONT 
          size=2>);AddColumn<FONT 
          size=2>(L,"L"<FONT 
          size=2>,1.2<FONT 
          size=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>);AddColumn<FONT 
          size=2>(Error,"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
          This message has been confirmed to be virus-free by Norton 
          Antivirus.<SPAN id=hotbar_element_used 
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