|
PureBytes Links
Trading Reference Links
|
I agree 100% that we work with what we have. IMO, it's not nearly
worth the effort to pole vault over this mouse turd.
--- In amibroker@xxxxxxxxxxxxxxx, "Howard Bandy" <howardbandy@xxxx>
wrote:
> 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@x...]
> Sent: Tuesday, January 06, 2004 7:22 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] dividend (more on the subject)
>
>
>
> Chuck,
>
> 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 Bell decided to distribut its shares in Nortel (about 30% of
Nortel).
> The day
> the new Nortel shares got credited to my account, my Bell shares
dropped by
> more
> than 50%. And you are right, the indicator charts for Bell were
useless for
> many
> 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@xxxx> 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@x...]
> > Sent: Tuesday, January 06, 2004 1:59 AM
> > 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@xxxx> 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@x...]
> > > Sent: Monday, January 05, 2004 9:34 PM
> > > 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
> >
>
>
> __________________________________
> Do you Yahoo!?
> Yahoo! Hotjobs: Enter the "Signing Bonus" Sweepstakes
> http://hotjobs.sweepstakes.yahoo.com/signingbonus
>
>
> 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
> <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubscribe>
>
> * Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service
> <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/
|