|
PureBytes Links
Trading Reference Links
|
Charles,
http://www.amibroker.com/guide/w_settings.html
"Pad and align to reference symbol"
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "firstview2000" <firstview2000_1999@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, January 03, 2004 12:19 AM
Subject: [amibroker] data holes causing problem for ATC (Was Re: More on data holes - for TJ)
> 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
> > > -----------------------------------------
> > > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > --------------------------------------------
> > > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > > Yahoo! Groups Links
> > >
> > > To visit your group on the web, go to:
> > > http://groups.yahoo.com/group/amibroker/
> > >
> > > To unsubscribe from this group, send an email to:
> > > amibroker-unsubscribe@xxxxxxxxxxxxxxx
> > >
> > > Your use of Yahoo! Groups is subject to:
> > > http://docs.yahoo.com/info/terms/
> > >
> > >
> > >
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Yahoo! Groups Links
>
> To visit your group on the web, go to:
> http://groups.yahoo.com/group/amibroker/
>
> To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
>
> Your use of Yahoo! Groups is subject to:
> http://docs.yahoo.com/info/terms/
>
>
>
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Yahoo! Groups Links
To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|