|
PureBytes Links
Trading Reference Links
|
I figure my data is as
clean as it can be Jayson
What I am trying to get
around is that because the stocks all started trading (or when my data started
for that stock) the composite price jumps by that amount. It is the same even if
I divide the summed prices by the number of stocks within the composite at that
time. I am just trying to get around the gap up.
Yes I agree that the
methods used by the exchanges to determine the indexes is cumbersome to use and
try to code in easily.
<?xml:namespace prefix = o ns =
"urn:schemas-microsoft-com:office:office" /><o:SmartTagType
namespaceuri="urn:schemas-microsoft-com:office:smarttags"
name="PersonName">
<B
><I
><SPAN
>Cheers<SPAN
class=GramE>,<?xml:namespace prefix = st1 ns =
"urn:schemas-microsoft-com:office:smarttags" /><st1:PersonName
><B
><I
><SPAN
>Graham
<A
href=""><FONT
color=#008080>http://groups.msn.com/ASXShareTrading
<A
href=""><FONT
color=#008080>http://groups.msn.com/FMSAustralia
<FONT
face=Tahoma size=2>-----Original Message-----From: Jayson
[mailto:jcasavant@xxxxxxxxxxx] Sent: Monday, 7 July 2003 9:53
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Re: Creating a composite index of my watchlist
<SPAN
class=651322313-07072003>Graham,
are
you sure your data is clean? I routinely create 12 sector composites using the
method you describe (count the stocks then divide the sum of the price data by
that sum), It seems to work for me...... The description below is certainly
superior but sounds like a bear to maintain.
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Graham
[mailto:gkavanagh@xxxxxxxxxxxxx]Sent: Monday, July 07, 2003 12:51
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Re: Creating a composite index of my watchlistThanks
for the repsonses, gives me something to start
withCheers,Graham<A
href="">http://groups.msn.com/ASXShareTrading<A
href="">http://groups.msn.com/FMSAustralia-----Original
Message-----From: Metasan [mailto:mdhuang@xxxxxxxxx] Sent: Sunday, 6
July 2003 12:11 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Re: Creating a composite index of my watchlistOne 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 whatI > 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. Thestandard >
method> > of just adding the prices means that if a stock starts
theresultant> > composite chart gaps at that day due to the
extra price of thenew > 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> > >
> <<A
href="">http://groups.msn.com/ASXShareTrading>>
> <A
href="">http://groups.msn.com/ASXShareTrading>
> > > <<A
href="">http://groups.msn.com/FMSAustralia>>
<A
href="">http://groups.msn.com/FMSAustraliaSend
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at:<A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to <A
href="">http://docs.yahoo.com/info/terms/
Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend
SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|