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Re: [amibroker] data holes causing problem for ATC (Was Re: More on data holes - for TJ)



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TJ,

When using intraday quotes, it is even more likely to get data holes.

When this occurs, the atc function can not generate results as 
expected.

Here's a simplified example.

Suppose I want to create a composite that is 
1. the sum of 10 stocks, 
2. each stock has a price of $10 all the time.
3. each stock has 30 minute intraday quotes with exception of one 
DATA HOLE in only one stock,
4. let's calculate the composite with periodicity in AA set to 1 hour.

Normal Quotes: 
12:00 12:30 1:00 1:30 2:00
10    10    10   10   10

Quotes with one data hole at 1:00 pm for only this stock
12:00 12:30 xx   1:30 2:00
10    10    xx   10   10

The calculated composite would have the following values:
12:00 12:30 1:00 2:00
100   10    90   100

The expected values should be:
12:00       1:00 2:00
100         100  100


Note: The actual composite values are shown in the composite chart. 


Can show me a way to fix it ?

Thanks,
Charles

--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx> 
wrote:
> Michael,
> 
> I already answered the question: non-existing data is not included 
in calculations.
> 
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message ----- 
> From: "Michael.S.G." <OzFalcon@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Thursday, January 01, 2004 1:29 PM
> Subject: Re: [amibroker] More on data holes - for TJ
> 
> 
> > TJ,
> >   So what would be happening when you calculate composites with 
Un-Padded data?
> > Does AB fill the holes in the data with previous values for each 
days 
> > calculation, Or does it simply exclude that stock from the days 
calc?
> > 
> > In regards to FORIEGN function, One would also have to be wary of 
> > interpreting Volume with un-padded data......?
> > 
> >          Michael.
> > 
> > At 10:47 PM 1/01/2004, you wrote:
> > >Chuck,
> > >
> > >My question for you, however, is how do the various indicators 
and moving 
> > >average calculations deal with un-padded data holes.   If I do a 
5-day MA, 
> > >for instance, and one of the days has no data, what would I get 
for the 
> > >MA?   Same for RSI or any other indicator.    It's taken me 
years to get 
> > >rid of data holes and find a data providor who will consistently 
pad them 
> > >for me so that indicators and other calculations work properly 
(IMO).
> > >
> > >That's why I prefer unpadded data. I don't want 'artificial' 
data to 
> > >affect my indicators. The MA from unpadded data represents only 
real 
> > >trading days data.
> > >So if say there was no trading on friday, the MA would represent 
5 days 
> > >before friday (previous friday, last monday, tuesday, wed, 
thursday).
> > > From my *personal* point of view, calculation of indicators 
should not be 
> > > affected by bars artificially added by padding process.
> > >But of course your preference may be different and you can use 
padded data 
> > >and include all bars (including artificial ones with zero 
volume).
> > >
> > >Best regards,
> > >Tomasz Janeczko
> > >amibroker.com
> > >----- Original Message -----
> > >From: <mailto:chuck_rademacher@x...>Chuck Rademacher
> > >To: <mailto:amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
> > >Sent: Wednesday, December 31, 2003 9:29 PM
> > >Subject: [amibroker] More on data holes - for TJ
> > >
> > >TJ,
> > >
> > >Paul's plug-in and my conversion program could, if desired, 
create data 
> > >holes (consistently) for users who want them.   I'm not trying 
to be 
> > >funny, but it is possible to leave a hole on those days when the 
volume is 
> > >zero.   We can forget about why anyone would want to do this.   
It can be 
> > >done and it would be 100% consistent rather than 15% consistent 
like it is 
> > >for most data providors.
> > >
> > >My question for you, however, is how do the various indicators 
and moving 
> > >average calculations deal with un-padded data holes.   If I do a 
5-day MA, 
> > >for instance, and one of the days has no data, what would I get 
for the 
> > >MA?   Same for RSI or any other indicator.    It's taken me 
years to get 
> > >rid of data holes and find a data providor who will consistently 
pad them 
> > >for me so that indicators and other calculations work properly 
(IMO).
> > >
> > >I could test to see how some of these calculations are 
affected... if only 
> > >I had some data holes!!
> > >
> > >
> > >
> > 
> > 
> > 
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> >


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