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Could this be the result of a stock that has split several times over
the years and the data that may reflect this? Just a shot in the
dark...
Nurudin
--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> MessageBob,
>
> I reviewed quickly the csv file I created last night to see the
occurrences of H==L and V== some value. You seem to be correct for
the vast majority of situations, i.e., the volume is a round number,
like 2,400; 40,800, etc., suggesting one big trade either by a mutual
fund or a high flyer trader. However, not all were that way. Sorting
on volume in descending order, the top 2 occurrences were V=
2,900,812 (VRTS on 10/12/94 when the price was only 0.36) and V=
1,995,873 (XTO when the price was 2.07). There were other isolated
instances of big volume and no evidence of a round lot type of
number. But, again the vast majority were round numbers. So, there
were instances that didn't look like a single large trade, but I
agree they still could have been. Thanks.
>
> AV
> ----- Original Message -----
> From: Bob Jagow
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Friday, July 04, 2003 11:32 AM
> Subject: RE: [amibroker] H=L and V=0
>
>
> Al,
> See my inserted comments..
>
> Bob
> -----Original Message-----
> From: Al Venosa [mailto:advenosa@x...]
> Sent: Friday, July 04, 2003 6:32 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: 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
> [Bob Jagow] I don't see the point in deleting them
> (although I don't know how, do you?). [Bob Jagow] Nope, you
can't change or delete QP2 data within AB.
> The real problem is what to do about those majority of days
when H==L, yet the volume was normal.
> [Bob Jagow] I don't agree that the volumes were "normal" Many
were round lots and 25% had V <= 1000.
> 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?
> [Bob Jagow] That happens if there was only one trade. That's
why I commented that the 25% " clearly could have been a single
transaction".
> Are these real errors by QP2? If not, do we just assume them
to be correct and go our merry way?
> ----- Original Message -----
> From: Bob Jagow
> To: 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.
>
> I also use QP2 so ran your scan on a watch list of stocks
with MA(V,10) >250K.
> 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.
>
> Bob
>
> -----Original Message-----
> From: Al Venosa [mailto:advenosa@x...]
> Sent: Thursday, July 03, 2003 7:34 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: 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.
> ----- Original Message -----
> From: Graham
> To: 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.
>
>
> Cheers,
> Graham
>
> http://groups.msn.com/ASXShareTrading
>
> http://groups.msn.com/FMSAustralia
>
> -----Original Message-----
> From: Al Venosa [mailto:advenosa@x...]
> Sent: Friday, 4 July 2003 10:22 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [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=0;
> Error = H==L OR V==0;
> AddColumn(H,"H",1.2);
> AddColumn(L,"L",1.2);
> AddColumn(V,"V",1);
> AddColumn(Error,"Bad Price Patterns",1);
> Filter=Error>0;
>
> 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.
>
>
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