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<SPAN
class=380392311-17102003>b, is it possible to handle this with a simple minimum
volume requirement? I currently have such a rule for entries to liquidity
reasons, but maybe it's wise to apply it to keeping the trade open too? I
haven't run into inactive stocks getting locked open, but I'm using QuotesPlus
data, and to be honest, I haven't looked into how they handle inactive
stocks.
<SPAN
class=380392311-17102003>
<SPAN
class=380392311-17102003>dave
<BLOCKQUOTE
>Tomasz,It
is nice to see that the ASCII importer can scale up the unadjusted close
by 100 to put into the OI field. However, the ASCII importer approach
is not practical, by itself, if one has a database that includes inactive
stocks. In such a case, we need to make the OI field do double duty. With
inactive stocks, there needs to be a way to exit those stocks before they
run out of data. Otherwise, AB will keep that trade "open" until the end
of the test run, even if the end is years away. As a result, when testing
several years of data, a trading portfolio of 20 stocks can get
reduced to 15 or even just 10 actively beging traded (since several
trades got locked open when data ran out). In one test, I ended up
with just 1 stock being traded by the end since all the other
positions were locked open. Having several trades locked open in
this way can alert one to the risk of stocks going inactive, but it also
makes it very difficult to know about the profit performance of the system
being tested. One solution is to put a "0" (zero) in the OI field for
the last 2 bars of data of inactive stocks. Thus there is a need for an
external program (given to me by a kind friend) to pre-process files
before importing into AB. That pre-importing program can also handle
putting unadjusted closing prices in the OI fields for all stocks.
Then one needs to add the following lines of code:inactiveExit
= OI == 0;myRegularExitSignal = ... my code ...;sell =
myRegularExitSignal OR inactiveExit;But that creates a new problem -
one could get an "inactiveExit" sell signal on the same bar as a regular
buy entry, and that would result in the trade being entered but never
exited. You may remember I sent in a "possible" bug report before you told
me why I was getting trades locked open. So another line of code is needed
for the entry:OKinactiveEntry = OI > 0;// only enter if OI has
no exit signal.myRegularBuySignal = ... my code ...;buy =
myRegularBuySignal and OKinactiveEntry; b--- In
amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:> Hello b519b, Fred,> > If you use the
following ASCII importer format definition > > $FORMAT
Date_DMY,Open,High,Low,Close,Volume,OpenInt> $PRICEFACTOR 100>
$SKIPLINES 0> $BREAKONERR 0> $SEPARATOR ,> $DEBUG
1> $AUTOADD 1> $CONT 1> $GROUP 254> > You
would be able to have:> > unadjusted OHLC in regular OHLC fields
and> adjusted close in OI field already.> > Since OI
field is integer, the above format definition> multiplies all
prices by 100 (see $PRICEFACTOR 100) to> avoid truncating 2
decimals.> > All this with already existing versions of AmiQuote
and AmiBroker.> (the only thing required is to change aqh.format file
from Formats subfolder> to format presented above)> >
Best regards,> Tomasz Janeczko> amibroker.com> -----
Original Message ----- > From: "b519b" <b519b@xxxx>> To:
<amibroker@xxxxxxxxxxxxxxx>> Sent: Friday, October 17, 2003 5:03
AM> Subject: [amibroker] Re: Uadjusted Yahoo Data - Any news?>
> > > If one has adjusted close in the "close" field and
unadjusted > > close*100 in "OI", one can quickly get the conversion
factor:> > > > unadjustedClose = OI/100;> >
SplitRatio = Close/unadjustedclose;> > > >
unadjustedVolume = Volume*SplitRatio;> > etc> > >
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx>
wrote:> > > Yes except not just adjusted and unadjusted close but
a factor > > that > > > can be used to adjust/unadjust
ALL the price arrays AND volume.> > > > > > --- In
amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher" > > >
<chuck_rademacher@x> wrote:> > > > hhmm.... sounds
familiar? What a great idea!> > >
> -----Original Message-----> > > >
From: Fred [mailto:fctonetti@xxxx]> > > > Sent:
Thursday, October 16, 2003 6:43 PM> > > > To:
amibroker@xxxxxxxxxxxxxxx> > > > Subject:
[amibroker] Re: Uadjusted Yahoo Data - Any news?> > > >
> > > > > > > > The adjusted .vs.
unadjusted is a nice option. The problem is > > >
that> > > > typically one needs both
simultaneously. You MIGHT and I > > > emphasize>
> > > MIGHT as I haven't thought about this much, want to
consider > > just> > > > using OI
for stocks since they're the only securities that > > >
typically> > > > have splits and really have no
use for OI per se.> > > > > > > >
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" > > >
<amibroker@xxxx>> > > > wrote:> >
> > > Fred,> > > >
>> > > > > You are absolutely right. I was
already thinking about that.> > > > > This
would of course cause increase of database size (I am > > >
thinking> > > > > about Chuck for example who
wants to put as much quotes as > > > possible> >
> > > in RAM for faster backtests) but it is worth
considering.> > > > > Uenal suggested similar
thing in AmiQuote list.> > > > > If only a day
had more than 24 hours :-)> > > > >>
> > > > By the way: newest Quotes Plus plugin already
provides such > > > option,> > >
> > you can choose if you want split adjusted or not
adjusted > > data.> > > > > (in
File->Database Settings->Configure)> > > >
>> > > > > Best regards,> > >
> > Tomasz Janeczko> > > > >
amibroker.com> > > > > ----- Original Message
-----> > > > > From: "Fred"
<fctonetti@xxxx>> > > > > To:
<amibroker@xxxxxxxxxxxxxxx>> > > > >
Sent: Thursday, October 16, 2003 11:52 PM> > > >
> Subject: [amibroker] Re: Uadjusted Yahoo Data - Any news?> >
> > >> > > > >>
> > > > > Tomasz,> > >
> > >> > > > > > A
suggestion here regarding splits ...> > > > >
>> > > > > > The best of all worlds would
to be able have a record of > > when > > >
the> > > > > > splits actually occured and
at what factor and have this > > > imbedded> > >
> in> > > > > > the data i.e.
another array "S" if you will that had a > > > cumulative>
> > > > > split factor in it. This would
allow one to look at either> > > >
adjusted> > > > > > or unadjusted data at
will.> > > > > >> > >
> > > Fred> > > > >
>> > > > > > --- In
amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"> > >
> <amibroker@xxxx>> > > >
> > wrote:> > > > > > >
Yuki,> > > > > > >> > >
> > > > I agree with you. I was just offering some
solution for > > just> > > > >
> splitting> > > > > > > one symbol.
Good news are that next beta version of > > > AMiBroker>
> > > (4.45)> > > > > >
> will have a new flag in the ASCII importer that will > > allow
> > > using> > > > > > >
getting split adjusted or not adjusted from Yahoo > > according
> > > to> > > > your> >
> > > > preference.> > > >
> > >> > > > > > > Best
regards,> > > > > > > Tomasz
Janeczko> > > > > > >
amibroker.com> > > > > > > ----- Original
Message -----> > > > > > > From: "Yuki
Taga" <yukitaga@xxxx>> > > > > > >
To: "Tomasz Janeczko" <amibroker@xxxxxxxxxxxxxxx>> > >
> > > > Sent: Thursday, October 16, 2003 11:31
PM> > > > > > > Subject: Re: [amibroker]
Uadjusted Yahoo Data - Any news?> > > > >
> >> > > > > > >> > >
> > > > > Hi Tomasz,> > >
> > > > >> > > > >
> > > Friday, October 17, 2003, 2:41:59 AM, you wrote:> >
> > > > > >> > > >
> > > > TJ> You can use Symbol->Split menu in AmiBroker to
> > adjust> > > > your> > >
> > > data.> > > > > >
> >> > > > > > > > You sure can,
but 1) according to the docs this is> > > >
irreversible> > > > > > once> >
> > > > > > done, so be careful, and 2) not all
those huge gaps are> > > > splits.>
> > > > > You> > > >
> > > > can find places like www.hotquotes.com where you can
> > > *fairly*> > > > > >
easily> > > > > > > > research the
splits. However, (my dear Tomasz) we > > need a> >
> > tweak on> > > > > >
> > the Database Purify tool, IMHO. What is needed is a
> > way > > > to> > > >
flag a> > > > > > > > particular
"split" identified by the tool as *NOT* a > > >
split,> > > > and> > >
> > > have> > > > > >
> > that flag stick. Unfortunately, the tool, while > >
> apparently> > > > > > finding>
> > > > > > > all the splits, also finds a
lot of non splits as > > well. > > > And>
> > > they> > > > > >
> > never go away, so you can never run this and get a > >
clean> > > > score.> > >
> > > > > Always, you will have literally dozens if
not hundreds > > of> > > > flags
in> > > > > > > > the Database Purify
output suggesting splits that, > > > according> > >
> to> > > > > > the>
> > > > > > > research record, never actually
happened. Could be > > that > > >
some> > > > of> > > >
> > > > those are just erroneous research data too, but the
> > site> > > > mentioned> >
> > > > > > above seems awfully thorough about
this.> > > > > > > >> > >
> > > > > Best,> > > >
> > > >> > > > > > > >
Yuki> > > > > > > >> > >
> > > > >> > > > >
> > >> > > > > > > > Send BUG
REPORTS to bugs@xxxx> > > > > > > >
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