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PureBytes Links
Trading Reference Links
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Hi Steve,
Thursday, September 18, 2003, 8:45:24 PM, you wrote:
SA> Amiquote offers 4 different data suppliers (plus current days
SA> updates from Yahoo!). Quality wise they all seem to have pluses
SA> and minuses. It took me a hefty days work to establish a database
SA> I was happy with.
Thanks Steve. I must admit I am *completely* new to AQ, since until
our broker here started offering live US trading there was absolutely
nothing I could download with AQ that I had much of an interest in.
SA> Some of the steps I took:
I guess the big difference between the EOD suppliers would be the
split adjusted business? Is eSignal split adjusted? If so, I will
re-download my entire database, which is pretty useless with so many
hundreds of huge gaps from splits.
SA> 1. download the entire US stocks (using the file from AB site).
SA> 2. eliminate (using Scan or Explorer) all stocks below $1 on
SA> 1/1/2000.
On my first run, with Yahoo data, I dumped everything below 5
dollars. I just don't trade that stuff. I scanned for 100-day
moving average of the close > 5 bucks. I may dump another round
soon, as I really can't see trading much that's below 10.
SA> 3. eliminate also all stocks which drop below $0.50 at any time (gets rid
SA> of a lot of the errors picked up by Database purity).
SA> 4.eliminate all stocks where C*MA(V,21) was below $500,000 on
SA> 1/1/2000.
I was way too lenient here on my first run. I set it for 150,000,
but you are right, I really don't trade anything that illiquid
anyway, so I might as well dump it.
SA> 5. Chug through the remaining errors from DP. If necessary eliminate stocks
SA> which are questionable.
Biggest problem with errors are the unadjusted splits. Database
Purify flags potential splits that are not, and there is no way to
tell it to stop doing that.
Thanks,
Yuki
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