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Some old
volumes [esp.. dot.coms] are misleading, Al.
If you check
Raw in QP2 [via <ctrl><alt>R],
"V= 2,900,812
(VRTS on 10/12/94 when the price was only 0.36)" was actually V = 95,500 at P =
11.00.
<FONT face=Arial
color=#0000ff>
Re pattern
recognition,
-For V==0,
you'd just ignore the price.
-The others
are [per Greg Morris p16] "Four Price Doji". He comments " ....This [doji]
could occur when a stock is very illiquid or the data source had only the
close. It is so rare that one should suspect data errors. However, it does
represent complete and total uncertainty by traders in market direction"
Looks like he
missed the single transaction
possibility.
<FONT face=Arial
color=#0000ff>
BTW I realize
there is one fallacy in my argument: NAZ transactions should show both
sides of a purchase or sale and the MM would like his cut.
<FONT face=Arial
color=#0000ff>
<FONT face=Arial
color=#0000ff>Bob
-----Original
Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]Sent: Friday, July 04, 2003 9:08
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
H=L and V=0
Bob,
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
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Bob Jagow
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, July 04, 2003 11:32
AM
Subject: RE: [amibroker] H=L and
V=0
<SPAN
class=978042214-04072003>Al,
<SPAN
class=978042214-04072003>See my inserted
comments..
<SPAN
class=978042214-04072003>
<SPAN
class=978042214-04072003>Bob
<FONT
face=Tahoma>-----Original Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]Sent: Friday, July 04, 2003 6:32
AMTo: <A
href="">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 <FONT face=Arial
color=#0000ff>[Bob Jagow] I don't see the point in deleting
them
<SPAN
class=385243314-04072003> (although I don't know how, do
you?).<SPAN
class=385243314-04072003> <SPAN
class=385243314-04072003>[Bob Jagow] Nope, you can't change or
delete QP2 data within AB.
<SPAN
class=385243314-04072003> The real problem is what to do about
those majority of days when H==L, yet the volume was normal. <SPAN
class=385243314-04072003>[Bob Jagow] I
don't agree that the volumes were "normal" Many were round lots and 25%
had V <= 1000.
<SPAN
class=385243314-04072003> 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? <SPAN
class=385243314-04072003>[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".
<SPAN
class=385243314-04072003> 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
<DIV class=OutlookMessageHeader lang=en-us dir=ltr
align=left>-----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>;<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
size=2>,1<FONT
size=2>);<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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