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Smitty --
Very interesting link you sent. Changes in any one year from more than
10% to over 30% in one year. Amazing.
What I find even more curiouser and curiouser is that every year there
are more additions than deletions. How do they do that without ending
up with more that 2000 symbols? The only excuse that I can think of is
that they do not count
as 'deletions'
companies that drop out of their own accord (buyouts, bankruptcies,
etc.) during the year.
Thanks for the input.
-- Keith
mail2smitty wrote:
http://www.itginc.com/research/russ/04/
--- In amibroker@xxxxxxxxxxxxxxx, "Joe Landry" <jelandry@xxxx>
wrote:
> Keith - I think I got my first list from the Russell site, pre
July
adjustment. Don't know how good the TC2000 data supply is in your
opinion but I think they're pretty good.
>
> Here's the ticker list of component stocks from TC2000. In this
one
there are 1979 and I've counted them 2 different ways in AB, I know
the composite it working for the current date.
>
> JOE
> ----- Original Message -----
> From: Keith McCombs
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, August 08, 2004 12:24 PM
> Subject: Re: [amibroker] RUT AddToComposite with TC2000 data
>
>
> 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.
> -- Keith
>
> Joe 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 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?
>
>
>
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