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<FONT face=Arial color=#0000ff
size=2>b
<FONT face=Arial color=#0000ff
size=2>
I hate
to be a bit pedantic, but even a short term trader is affected by these
distortions. Imagine the effect of a 50% in the price of any stock
on today's chart. If you owned the stock, you would have 50% cash (or
stock in another company) and your original shares worth 50% of what they were
worth yesterday. However, what did the 50% drop in price do to your
short term indicators? It would look like one SERIOUS breakout to the
downside. Yes, you may go and look at the chart.
But that's not what happens in backtesting a mechanical system, is
it?
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Assuming that you backtest over a few years, even a very short term
trading system will encounter many of these distortions.
<FONT face=Arial color=#0000ff
size=2>
Can
you see the problem?
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: b
[mailto:b519b@xxxxxxxxx]Sent: Thursday, January 08, 2004 1:58
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
dividend (more on the subject)Howard,Thanks
for the reply. I appreciate know the perspective of people like you,
Chuckand other who have many years for experience working with data
issues.It would seem to me that whatever bias is created by excluding
dividends woulddecrease with one's average holding period. Obviously
someone who is a buy and holdinvestor with a 10 year holding period might
be more interested in what effectdividends would have, but a daytrader
would never have to worry about any distortion(assuming the daytrader only
used today's data for trading). b--- Howard Bandy
<howardbandy@xxxxxxxxx> 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> >
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