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You may be interested in knowing that since
1984, there were 2,044,478 instances of U.S. stocks trading at least 100 shares
where the high and low were the same.
Since 1984, there were 981,006 instances of
U.S. stocks trading at least 1,000 shares where the high and low were the
same.
Since 1984, there were 193,717
instances of U.S. stocks trading at least 10,000 shares where the high and low
were the same.
The above figures are based on all stocks,
including stocks that are now extinct.
Be careful,
though. With heavy backadjusting, your data may show
something like DELL, YHOO, etc. trading at the same price (O,H,L,C) for
several days when, in fact, it wasn't really trading at the same
price. The backadjusted prices (O,H,L,C) may be showing
as 0.10, for instance, for several days. In reality, the price may
have been ranging between $30 and $32. It's only the backadjusting that
makes it appear that the high and low are the same.
Have fun!
<BLOCKQUOTE
>
-----Original
Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]Sent: Friday, July 04, 2003 9:32
AMTo: 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
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