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Thanks for the repsonses, gives me something to start with
Cheers,
Graham
http://groups.msn.com/ASXShareTrading
http://groups.msn.com/FMSAustralia
-----Original Message-----
From: Metasan [mailto:mdhuang@xxxxxxxxx]
Sent: Sunday, 6 July 2003 12:11 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Creating a composite index of my watchlist
One more thing: the divider also need to be adjusted when a stock is
removed from the list.
--- In amibroker@xxxxxxxxxxxxxxx, "Metasan" <mdhuang@xxxx> wrote:
>
> There are many ways to calculate an index and the following is what
I
> do. Just as the DJ30, choose a variable divider to ensure the
> continuity of the index. index = sum(all stock prices)/divider.
>
> At the beginnig, the index is 100. Suppose there are 3 stocks: A,
B,
> C.
>
> The initial divider d = (A+B+C)/100; index = (A+B+C)/d = 100.
>
> The divider doesn't change until there is a split or a new addition.
>
> When there is a split, for example, stock A has a 2 for 1 split,
and
> its new price is half of its old price, but the index should not
> change. So (A+B+C)/d = (A/2+B+C)/d1 where d1 is the new dividor.
Thus
> we get d1 = (A/2+B+C)*d/(A+B+C).
>
> When adding a new stock D, the divider is adjusted (on that day) as
> follows:
> d1 = (A+B+C+D)*d/(A+B+C) where d1 is the new divider.
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx> wrote:
> > I am trying to create an index of my watchlist of stocks that is
> consistent.
> > It is easy to do if they all have traded for the same period of
> time, but
> > some stocks started trading more recently than others. The
standard
> method
> > of just adding the prices means that if a stock starts the
resultant
> > composite chart gaps at that day due to the extra price of the
new
> stock. I
> > tried dividing by the number of stocks but the gap remains. I have
> > also tried just using the change of price each day but it
> does not
> > produce a usable chart.
> > Has anyone got any ideas that I could try.
> > Ultimately I want to use it as a tool to determine strengths and
> divergances
> > within the watchlist of stocks, much as a sector index would be
> used.
> > TIA
> >
> >
> > Cheers,
> > Graham
> >
> > <http://groups.msn.com/ASXShareTrading>
> > http://groups.msn.com/ASXShareTrading
> >
> > <http://groups.msn.com/FMSAustralia>
> http://groups.msn.com/FMSAustralia
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