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Hi Herman,
In terms of use, the only time I use it is if I have a market timing signal driven off an index (like Russell 2K), and will be portfolio trading stocks based on this timing signal.
If you don't pad and align data, what will happen is as AB portfolio trader runs through each stock to generate a score, the # of reference bars changes. Consequently, signals generated off the Rut index will be different since:
A.) The signal starts from different points due to differing lengths in stock's history
B.) Due to different # of bars for each stock, the calculations will be slightly different.
So, when you pad and align data, your index symbol stays as the reference symbol so that when it generates signals it is always using the same number of bars regardless of which stock is being scored at the time.
Sorry if I'm not clear enough as it took me a while of reading AB-Beta group posts to understand this.
Have a great Thanksgiving and go COWBOYS !!!
Warmest,
GaryTomasz Janeczko <amibroker@xxxxxx> wrote:
Herman,
Missing bars BEFORE first valid data bar of given security are filled with NULLs
Missing bars AFTER first valid data bar of given security are filled with previous valid bar data.
There was already discussion on this issue on amibroker-beta list.
More on this in Foreign docs:
http://www.amibroker.com/guide/afl/afl_view.php?name=FOREIGN
Best regards,Tomasz Janeczkoamibroker.com
----- Original Message -----
From: Herman vandenBergen
To: AmiBroker
Sent: Wednesday, November 26, 2003 10:08 AM
Subject: [amibroker] What is padded data?
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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