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Keith,
I've been down this road with symbol lists going back to 98, and yes these companies do change ticker symbols at an alarming rate. So, if you have symbols lists that go back beyond 2003 you can essentially throw them out unless you took composites of them when they were current.
Even if a ticker does exist that belongs to a given Rut tickerlist for a past year, there is a reasonable chance that the ticker was reassigned to another company. As such, you'll generate compostites, but they will not be correct.
The only way around this delisted ticker problem is to use CSI data, but even now I can't get it to work efficiently with AmiBroker.
Sorry to muddy the waters further, but you did ask. : )
Regards,
Gary
Keith McCombs <kmccombs@xxxxxxxxxxxx> wrote:
Joe --I find it interesting that we do not get the same count. What are you using for a data source, TC2000 or something else? Also where did you get your Rut2000 list from?Smitty --You have a good point regarding name changes, etc. However, I would think that more than 80% of the stocks in todays Rut2000 were in existence, with the same name, only 4 1/2 years ago. And less than 92% right now??Anyone --Any ideas on how I might generate a list of the symbols in my Rut2000 Watch List that were either found or not found on any particular day? That might help me understand this weirdness.Thanks for your help.-- KeithJoe Landry 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 lowsAddToComposite(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: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html Check AmiBroker web page at:http://www.amibroker.com/Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html 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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