Re: [amibroker] RUT AddToComposite with TC2000 data

[Keith McCombs <kmccombs@xxxxxxxxxxxx>]

Dave --
I believe you're absolutely correct.  There isn't an 'easy' way to get
the 'real' data.  Even if you had the historical makeup of an index it
would be very difficult to make any use of it.  TC2000, for example,
drops a stock from its data base whenever that company stops doing
business.  That;s too bad.  I think one could learn a lot from the
historical prices of companies which have gone belly up, been bought
out, or merged with other companies.

Another question which is difficult to answer is "how 'accurate' does
the makeup of an index have to be to be useful?"  My guess is that with
a large index such as the R2000 the 'accuracy' is not very critical.

Thanks for your input.
-- Keith

Dave Merrill wrote:
<blockquote cite=""
 type="cite">
  
  
  
  <span
 class="250154113-09082004">Not to overstate the obvious, but lists
like these are dynamic; stocks enter and leave, even cease to exist.
So, for any kind of composite or other indicator to be valid over the
long term, you can't just use the current index members, or you're
introducing survivorship bias, more and more of it the longer you go
back. 
  <span
 class="250154113-09082004"> 
  <span
 class="250154113-09082004">There just isn't any easy way out of this.
Standard indicators have recorded historical values that were created
at that time, but it's much harder for your own composites. The only
*real* answer is to build them from index members that were current
then, which isn't an easy thing to do. It requires tracking that info
down, and some way to use it when you build your composite.
  <span
 class="250154113-09082004"> 
  <span
 class="250154113-09082004">Dave Merrill
  <blockquote
 ><font
 size="-1">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

  
  
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