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Hello Kieth,
Sounds like your seeing the starting point for each time series
(stock) in the TC2000 database, not the point of addition to the
Russell 2000. TC2000 only knows the current makeup of the Russell
2000 and the individual histories of those stocks. There's also the
issue of name changes and adding letters to the ticker that could
mess up a stock's history. How your data vendor has dealt with these
and other changes can effect the outcome of your program.
smitty
--- In amibroker@xxxxxxxxxxxxxxx, "Joe Landry" <jelandry@xxxx> wrote:
> Keith
> I count my Rut2000 stocks the same way using the same AFL statement
but I get a count of 1895 all the way back to 1990, a flat line.
> AddToComposite(Volume,"~RUTVol","X");
>
> AddToComposite(1, "~RUTcount", "X");
>
> On a first cut I would say it's survivorship, a conclusion you've
probably come to also. The stocks in the Russell 2000 list today were
not in the list in 1984.
>
> JOE
> ----- Original Message -----
> From: keithmccombs
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, August 08, 2004 12:08 AM
> Subject: [amibroker] RUT AddToComposite with TC2000 data
>
>
> I have been trying to get some composite data on the Russell 2000
> using TC2000 data. My code is:
>
> // Gets data for 6 week new highs and lows
> AddToComposite(IIf(H > HHV(Ref(High,-
1),30),1,0),"~RUTNewHighs", "X");
> AddToComposite(IIf(L < LLV(Ref(Low,-
1),30),1,0),"~RUTNewLows", "X");
> AddToComposite(1,"~RUTCount", "X");
> Buy = Close > 100000;
>
> When I plot "~RUTCount" vs time, I get values that smoothly
increase
> from 335 on 1/4/1984 to 1592 on 1/3/2000 to 1831 on 8/6/2004
(last
> Friday). I would expect major steps every six months or so, but
not
> smoothly increasing like this. Also, I would expect full 2000
for
> recent data. I downloaded my list of stocks from Russell on
7/6/2004.
>
> Does anyone have any idea what is going on here?
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
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