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Hi b –
We could ask Tomasz to provide these
capabilities in AmiBroker.
One, it would complicate his life
significantly.
Two, we would need a data vendor who
provided accurate real time and historical data for all the fields we are
tracking.
Three, the companies reporting data would
need to agree on the methods they use so as to insure that we are able to work
with consistent data.
Four, eventually we get back to the
existence of an unknown and unknowable bias in any data released by any
reporting agency which distorts whatever numbers appear in the data stream.
I recommend we work with what we already
have, and be conservative when examining back test results.
Howard
-----Original Message-----
From: b [mailto:b519b@xxxxxxxxx]
Sent: Tuesday,
January 06, 2004 <span
>7:22 AM<font size=2
face=Tahoma>
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] dividend
(more on the subject)
<font size=2
face="Courier New">Chuck,<font
size=2 face="Courier New">
Thanks for the additional information. I get the
point about large price drops due
to division spin offs. Back in the tech bubble, I
was holding some Bell Canada share
when <font size=2
face="Courier New">Bell<font
size=2 face="Courier New"> decided to distribut
its shares in Nortel (about 30% of Nortel). The day<font
size=2 face="Courier New">
the new Nortel shares got credited to my account,
my <span
>Bell<font size=2
face="Courier New"> shares dropped by more<font
size=2 face="Courier New">
than 50%. And you are right, the indicator charts
for <span
>Bell<font size=2
face="Courier New"> were useless for many<font
size=2 face="Courier New">
weeks.
I had an idea while taking my morning shower.
Whether the idea is a bright one or I
am just all wet, I do not know yet. But here is
the idea.
If Amibroker had one more data field per bar, we
could have the following (assuming
the API call to CSI could be explanded):
Date
Open (adjusted for splits, but not for dividends)
High (adjusted for splits, but not for dividends)
Low (adjusted for splits, but not for dividends)
Close (adjusted for splits, but not for dividends)
Volume (actual trading volume, not adjusted for
splits)
OI (Actual Close *100, for use in price filters)
NEW (Close adjusted for dividends and for splits)
Alternatively NEW could be set to zero except for
the dividend dates when it would
hold the actual dividend payment.
Using the NEW field, one could detect the when a
dividend is paided out (by
comparing the daily change in the NEW field to
that in the Close field).
What to do when a dividend is detected? Although I
am still in a bit of a fog (no
time for breakfast juice), I do not see a simple
way to work the dividend change
back into the various indicators and profit and
loss calculations.
Man, this dividend stuff is too complicated to
tackle before breakfast.
b
--- Chuck Rademacher
<chuck_rademacher@xxxxxxxxxx> wrote:
> G'day, b...
>
> Another country heard from on the subject of
dividends!
>
> IMO, the BIG dividends could be considered to
be rare. However, a dividend
> of 10%, while not BIG, can still affect the
P/L and indicator calculations.
> Sometimes a company will float a division or
subsidiary, issuing stock in
> the new company and reducing the price of the
original stock by the same
> amount. It is not unusual to see
50% falls in price arising from
> situations like this. I could run
some stats for you, if you feel it is
> important to know that much about the scale
of the problem.
>
> I would hope that TJ might think this subject
is important enough to give
> some consideration. In order for
that to happen, enough users would have
> to:
>
> a. understand the problem.
> b. believe that it is serious enough
that it should be fixed
> c. convey that message to TJ.
>
> If TJ was to address the problem, there still
is the issue of how the
> information gets into the
database. I hate to bring up CSI again, for fear
> that users here will soon think that I have
some sort of financial interest
> in the company. I can assure you that I
cannot benefit in any way by people
> subscribing to CSI.
>
> With that (hopefully) out of the way, let me
describe how my own trading
> software works. By the way, my
software is not for sale, so there is no
> potential conflict in tellying you about it.
>
> My database, thanks to CSI, has a record of
every dividend and dividend
> date. This information is
available directly from CSI. In fact, with CSI
> you can backadjust your data to include or
exclude dividends. Obviously,
> the difference is the amount of the
dividend. Backadjusting for dividends,
> however, creates a new problem; prices can go
negative when backadjusting
> over several years. My method of
getting around this problem is to
> backadjust over a moving window that is large
enough to properly calculate
> the indicators being used by the
system. Since my database has dividend
> dates and amounts, I am able to do this
backadjusting on the fly. Yes, it
> slows things down. No, I don't
turn the feature "on" during preliminary
> research of new system(s) and/or
parameter(s). I only turn it on in the
> later stages of my research in order to get
an accurate picture.
>
> I hope that the above helps people to
understand the significance of the
> problem. I don't recall it every
being mentioned on this or any other
> Yahoo board. I can assure you,
however, that the subject takes up a lot of
> my time and effort.
> -----Original Message-----
> From: b [mailto:b519b@xxxxxxxxx]
> Sent: Tuesday, January 06,
2004<span
> <span
>1:59 AM<font size=2
face="Courier New">
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] dividend
(more on the subject)
>
>
> Chuck,
>
> I am convinced. Dividends are bad
news. And with recent US tax changes
> they will not
> be going away anytime soon.
>
> Are the big dividend payouts rare
enough that they can be ignored in
> practice?
>
> I hope the answer is Yes, because
I can not see any easy way to compensate
> (other
> than manually checking all trade
candidates for recent dividends - too
> much tedious
> work for my liking.)
>
> b
>
> --- Chuck Rademacher
<chuck_rademacher@xxxxxxxxxx> wrote:
> > Another reason why I say
that dividends are the BIGGEST PROBLEM with
> data is
> > that not only did $11
disappear in one day from the stock in question
> > (causing a loss), it also
severely distorts ALL technical indicators.
> Such
> > a move could look like a
SERIOUS BREAKOUT when, in fact, it's nothing
> but a
> > dividend.
> > -----Original
Message-----
> > From:
indiana0352 [mailto:cs_winn@xxxxxxxxxxx]
> > Sent: Monday, January 05,
2004<span
> <span
>9:34 PM<font size=2
face="Courier New">
> > To:
amibroker@xxxxxxxxxxxxxxx
> > Subject:
[amibroker] dividend
> >
> >
> > Does anyone know
how I can compensate for large dividend payments
> > made by
companies in the stock prices in AB??
> >
> > eh NCRX
which paid out a $10.92 cash dividend on Dec 2, shows in AB
> > as dropping
significantly that day when really it didn't.
> >
> > The only way I
could firgure it out would be to do a reverse
> > division and
calculate a split value which I enter. Is there an
> > easier way?
> >
> > TIA,
> > Chris
>
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