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PureBytes Links
Trading Reference Links
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Herman
My understanding is that data holes (ie days where a stock doesn't
trade eg trading halt) are filled with previous days data, not that
all stocks are padded to the same length as reference symbol. An
example of how this may effect things; Take a stock that for some
reason has only traded 10 of the last 12 trading days. ROC(C,10)
with unpadded data will compare today's close with the close 10 data
periods before (in this case 12 Trading days before). Padded Data
will give a ROC(C,10) where the comparison is made to the close 10
trading days before. Which is desirable is an individual
preference, there is no right or wrong. An example where padding is
probably desirable is comparing a 10 period ROC of a stock to a 10
period ROC of a market index.
Hope this helps
Andrew
--- In amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen"
<psytek@xxxx> wrote:
> Hello,
>
> In the Portfolio Settings page we can select "Pad and Align data to
> Reference symbol". The help says: "Auto Analysis/Settings,
portfolio
> backtester (both regular and rotational modes): added ability to
pad and
> align all symbols to reference symbol. Note: by default this
setting is OFF.
> Use responsibly. It may slow down backtest and introduce some
slight changes
> to indicator values when your data has holes and holes are filled
with
> previous bar data. The feature is intended to be used ONLY when
your system
> uses general market timing (generates global signals based on data
and/or
> indicators calculated using Foreign from 'reference' symbol). Note
2: if
> reference symbol does not exist, data won't be padded."
>
> Can someboy explain this in lay-man's terms? I think it means that
any
> stocks that have less data than the Reference symbol will be
padded to
> provide a data array of reference length... but if this is the
case "what"
> is the array padded with? Or is the Reference array padded to the
length of
> the largest stock array?
>
> When do I use it?
> Why is it needed?
> What goes or can go wrong if I don't use it?
>
> Many thanks for any help you can give!
>
> Herman.
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