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Joe --
The 'official' R2000 contains exactly 2000 equities. See:
http://russell.com/us/Indexes/US/membership/R2000.pdf
(Blush) I just realized that the list that I downloaded on July 6,
2004 was actually last years list made June 30, 2003. This accounts
for the TC2000 list counting 1979 vs. my count of only 1831.
In the next few days, I hope to find the 21 difference between the
TC2000 1979 and the 'official' 2000.
In general, getting the component stock for an index is difficult. For
example, the Russell web site states that they have 21 US equity
indexes. However, they provide the actual makeup of only 3 of them. I
would like to get the makeup for the R2000 Growth and Value, but don't
know where to get them.
Thanks again for your comments.
-- Keith
Joe Landry wrote:
Keith - I may be wrong but I think
the 2000 designation may be like a generic name...don't know.
On a similiar topic for component
stocks, the NYSE stocks are contained in the TC2000, but you have to
extract them with an EasyScan, they're not set aside as a separate
component list. There's a proprietary indicator that's based on NYSE
that I've been trying to reverse 'engineer' for a couple of week with
approximate success, and it's called Lowry's Buying Power/Sell
Pressure. Here again I wondered about the component stocks of an index
and what is used to develop the indicator. The Lowry's organization
beside having a proprietary algo for generating the indicator also pare
down the NYSE list to only operating companies, so financial
instruments like closed end funds are eliminated.
Best regards
JOE
<blockquote
>
<div
>-----
Original Message -----
<div
>From:
Keith
McCombs
<div
>To:
<a title="amibroker@xxxxxxxxxxxxxxx"
href="">amibroker@xxxxxxxxxxxxxxx
<div
>Sent:
Sunday, August 08, 2004 9:45 PM
<div
>Subject:
Re: [amibroker] RUT AddToComposite with TC2000 data
Joe --
I didn't realize that TC2000 had a R2000 watch list until you sent this
last email. It is very interesting that TC2000 has only 1979 entries.
I will try to find out where in Limbo the other 21 companies are and
also the differences between the TC2000 list and the one from Russell.
I just tried your ticker list. I get a count of 1979 from May 27, 2004
to today. However smoothly decreasing numbers before that, down to
1611 on 1/3/00 and to 341 on 1/4/1984.
I am beginning to believe this drastic fall off (based mostly on the
numerous responses I received from the amibroker group). Wow!
Thanks for the help.
-- Keith
Joe Landry wrote:
<blockquote cite=""
type="cite">
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
<blockquote
>
<div
>-----
Original Message -----
<div
>From:
<a title="kmccombs@xxxxxxxxxxxx"
href="">Keith McCombs
<div
>To:
<a title="amibroker@xxxxxxxxxxxxxxx"
href="">amibroker@xxxxxxxxxxxxxxx
<div
>Sent:
Sunday, August 08, 2004 12:24 PM
<div
>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:
<blockquote cite=""
type="cite">
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<font
size="1">(Volume,"~RUTVol"<font
size="1">,"X"<font
size="1">);
AddToComposite<font
size="1">(1,
"~RUTcount"<font
size="1">, "X"<font
size="1">);
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
<blockquote
>
<div
>-----
Original Message -----
<div
>From:
<a title="kmccombs@xxxxxxxxxxxx"
href="">keithmccombs
<div
>To:
<a title="amibroker@xxxxxxxxxxxxxxx"
href="">amibroker@xxxxxxxxxxxxxxx
<div
>Sent:
Sunday, August 08, 2004 12:08 AM
<div
>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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Check AmiBroker web page at:
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Check AmiBroker web page at:
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