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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!!
> > >
> > >
> > >
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
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> >
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