|
PureBytes Links
Trading Reference Links
|
I did better than run purify, I created a PURE database from scratch.
If you want to help, do what I did and see if the results are the
same for you. If they are, something is wrong and I need to be aware
of why because I put money on the line based on the results of these
scans.
If you dont know the details of the discussion or ways to
troubleshoot and debug software problems, dont get in the middle of
it. you are only distracting from the issue, not helping.
thanks,
ken
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> You don't mention that you actually did run the purify tool and
look at the
> report. If you didn't why the hell not? PLEASE do what TJ asks you
to do!!
>
> d
>
>
> _____
>
> From: k_binder_ [mailto:k_binder_@x...]
> Sent: Wednesday, October 06, 2004 11:28 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: setforeign bug
>
>
>
> Tomasz,
> It is NOT misaligned data. Here is what I did to test this
hypothesis:
>
> I created a new database, imported 2 symbols into it with data
> starting from 12/24/2003 to 1/29/2004. This range is easily
> verifiable with the naked eye. There are NO missing days, NO
> misalignments. I can see that from the charts. I also checked the
> data in notepad before I imported into AB.
>
> Next, I ran the exploration after selecting qqq. qROC was
calculated
> starting from the 4th bar, which is correct because the formula is
> qROC = ROC(close, 3);
>
> Next, I selected aapl and ran this same exploration. The qROC was
> calculated starting from the 5th bar, which is WRONG since there is
> data from 12/24/2004 for aapl. This is exactly what I see when I
load
> all the data, the formula is shifted by 1 bar.
>
> here are the files of data and results that I used:
>
> qqq:
> 12/23/2003,1315,35.60,36.02,35.53,35.84,67060700,0
> 12/24/2003,1315,35.84,36.02,35.80,35.90,44840300,0
> 12/26/2003,1315,35.96,36.09,35.82,35.85,25499000,0
> 12/29/2003,1315,36.03,36.53,36.02,36.44,63456000,0
> 12/30/2003,1315,36.53,36.58,36.30,36.56,48282100,0
> 12/31/2003,1315,36.60,36.64,36.25,36.46,60531500,0
> 01/02/2004,1315,36.65,36.79,36.22,36.36,55263700,0
> 01/05/2004,1315,36.60,37.16,36.56,37.09,69757000,0
> 01/06/2004,1315,37.08,37.42,36.95,37.34,60075300,0
> 01/07/2004,1315,37.28,37.68,37.07,37.68,71895800,0
> 01/08/2004,1315,37.87,38.00,37.60,37.98,78268200,0
> 01/09/2004,1315,37.71,38.35,37.59,37.73,94326896,0
> 01/12/2004,1315,37.85,38.35,37.68,38.33,77719504,0
> 01/13/2004,1315,38.27,38.36,37.60,37.95,93060896,0
> 01/14/2004,1315,38.08,38.25,37.84,38.08,69074400,0
> 01/15/2004,1315,37.93,38.46,37.63,38.18,104597104,0
> 01/16/2004,1315,38.38,38.63,38.17,38.57,77371600,0
> 01/20/2004,1315,38.73,38.85,38.31,38.54,82083600,0
> 01/21/2004,1315,38.39,38.66,38.00,38.38,112316800,0
> 01/22/2004,1315,38.55,38.69,38.06,38.15,90966400,0
> 01/23/2004,1315,38.21,38.46,37.78,38.01,88805504,0
> 01/26/2004,1315,37.98,38.65,37.84,38.59,84703400,0
> 01/27/2004,1315,38.51,38.63,37.69,37.74,97365800,0
> 01/28/2004,1315,37.94,38.06,37.00,37.10,128169296,0
> 01/29/2004,1315,37.24,37.31,36.66,37.24,144040496,0
>
> aapl:
> 12/23/2003,1300,19.92,19.95,19.60,19.81,5509189,0
> 12/24/2003,1300,19.72,20.59,19.65,20.41,3169128,0
> 12/26/2003,1300,20.35,20.91,20.34,20.78,1851614,0
> 12/29/2003,1300,20.91,21.16,20.86,21.15,4168852,0
> 12/30/2003,1300,21.18,21.50,21.15,21.28,3658351,0
> 12/31/2003,1300,21.35,21.53,21.18,21.37,3115460,0
> 01/02/2004,1300,21.55,21.75,21.18,21.28,2583378,0
> 01/05/2004,1300,21.42,22.39,21.42,22.17,7060234,0
> 01/06/2004,1300,22.25,22.42,21.71,22.09,9101133,0
> 01/07/2004,1300,22.10,22.83,21.93,22.59,10481444,0
> 01/08/2004,1300,22.84,23.73,22.65,23.36,8220176,0
> 01/09/2004,1300,23.23,24.13,22.79,23.00,7641639,0
> 01/12/2004,1300,23.31,24.00,23.10,23.73,8711348,0
> 01/13/2004,1300,24.70,24.84,23.86,24.12,12126874,0
> 01/14/2004,1300,24.40,24.54,23.78,24.20,11153762,0
> 01/15/2004,1300,22.91,23.40,22.50,22.85,18185794,0
> 01/16/2004,1300,23.00,23.04,22.61,22.72,6658609,0
> 01/20/2004,1300,22.67,22.80,22.25,22.73,5642722,0
> 01/21/2004,1300,22.70,22.97,22.43,22.61,4054951,0
> 01/22/2004,1300,22.56,22.83,22.18,22.18,3660782,0
> 01/23/2004,1300,22.42,22.74,22.25,22.56,4057256,0
> 01/26/2004,1300,22.46,23.06,22.43,23.01,4845078,0
> 01/27/2004,1300,23.03,23.25,22.80,23.07,5486319,0
> 01/28/2004,1300,22.84,23.38,22.41,22.52,4917934,0
> 01/29/2004,1300,22.63,22.80,22.19,22.68,379
>
> qqq:
> And here are the results:
> Ticker Date/Time QROC
> qqqDailyTest 12/24/2003 13:15
> qqqDailyTest 12/26/2003 13:15
> qqqDailyTest 12/29/2003 13:15
> qqqDailyTest 12/30/2003 13:15 1.84
> qqqDailyTest 12/31/2003 13:15 1.7
> qqqDailyTest 1/2/2004 13:15 -0.22
> qqqDailyTest 1/5/2004 13:15 1.45
> qqqDailyTest 1/6/2004 13:15 2.41
> qqqDailyTest 1/7/2004 13:15 3.63
> qqqDailyTest 1/8/2004 13:15 2.4
> qqqDailyTest 1/9/2004 13:15 1.04
> qqqDailyTest 1/12/2004 13:15 1.73
> qqqDailyTest 1/13/2004 13:15 -0.08
> qqqDailyTest 1/14/2004 13:15 0.93
> qqqDailyTest 1/15/2004 13:15 -0.39
> qqqDailyTest 1/16/2004 13:15 1.63
> qqqDailyTest 1/20/2004 13:15 1.21
> qqqDailyTest 1/21/2004 13:15 0.52
> qqqDailyTest 1/22/2004 13:15 -1.09
> qqqDailyTest 1/23/2004 13:15 -1.38
> qqqDailyTest 1/26/2004 13:15 0.55
> qqqDailyTest 1/27/2004 13:15 -1.07
> qqqDailyTest 1/28/2004 13:15 -2.39
> qqqDailyTest 1/29/2004 13:15 -3.5
>
> aapl:
> Ticker Date/Time QROC
> aaplDailyTest 12/24/2003 13:00
> aaplDailyTest 12/26/2003 13:00
> aaplDailyTest 12/29/2003 13:00
> aaplDailyTest 12/30/2003 13:00
> aaplDailyTest 12/31/2003 13:00 1.84
> aaplDailyTest 1/2/2004 13:00 1.7
> aaplDailyTest 1/5/2004 13:00 -0.22
> aaplDailyTest 1/6/2004 13:00 1.45
> aaplDailyTest 1/7/2004 13:00 2.41
> aaplDailyTest 1/8/2004 13:00 3.63
> aaplDailyTest 1/9/2004 13:00 2.4
> aaplDailyTest 1/12/2004 13:00 1.04
> aaplDailyTest 1/13/2004 13:00 1.73
> aaplDailyTest 1/14/2004 13:00 -0.08
> aaplDailyTest 1/15/2004 13:00 0.93
> aaplDailyTest 1/16/2004 13:00 -0.39
> aaplDailyTest 1/20/2004 13:00 1.63
> aaplDailyTest 1/21/2004 13:00 1.21
> aaplDailyTest 1/22/2004 13:00 0.52
> aaplDailyTest 1/23/2004 13:00 -1.09
> aaplDailyTest 1/26/2004 13:00 -1.38
> aaplDailyTest 1/27/2004 13:00 0.55
> aaplDailyTest 1/28/2004 13:00 -1.07
> aaplDailyTest 1/29/2004 13:00 -2.39
>
> you can see that qROC for aapl is shifted by 1 bar.
>
> here is the formula:
> SetForeign("qqqDailyTest");
> qROC = ROC(Close, 3);
> RestorePriceArrays();
>
>
> Filter = 1;
> AddColumn(qROC, "QROC");
>
> This is very important. Please take the time to test this yourself
> and tell me where I am making a mistake.
>
> thanks,
> ken
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
<amibroker@xxxx>
> wrote:
> > Hello,
> >
> > >
> > > How can data be misaligned? no matter what the value of aapl, on
> > > 1/2/2004, I expect qROC to be -.22 because it is calculated
based
> on
> > > qqq data, not aapl.
> >
> > Again - there is NO bug and the behaviour is correct (i.e. as
> documented)
> >
> > Please do what I write. I am not brushing away.
> >
> > So again:
> > Please do read the documentation
> > http://www.amibroker.com/f?foreign
> >
> > It says:
> > "Foreign function synchronizes the data file
> > you are referencing with the currently selected symbol.
> >
> > Synchronization makes sure that EACH bar of FOREIGN data
> > matches exactly with each bar of currently selected symbol.
> >
> > So if DateNum() function returns 990503 for given bar
> > then Close array represents the CLOSE of currently selected
symbol
> at May 3, 1999
> > and Foreign("SYMBOL", "C") represents close of foreign symbol at
> May 3, 1999 TOO.
> >
> > This is absolutely necessary because otherwise you won't be able
> > to do ANY meaningful operations involving both selected symbol
and
> foreign symbol.
> >
> > This also needed for the display so when you mark the quote with
> vertical
> > line it will always match the date displayed regardless if you
use
> Foreign or not.
> >
> > Please note that if you have data holes in currently selected
> symbol then in order to synchronize bars Foreign function will
remove
> > bars that exist in Foreign symbol but do not exist in currently
> selected symbol."
> >
> >
> > Now if you have misaligned QQQ and AAPL data in three last bars
you
> will GET
> > DIFFERENT results of your qROC.
> >
> > So AGAIN PLEASE
> > Go to Tools->Database Purify, enter QQQ as reference symbol and
> > click "ANALYSE" and you will see.
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "k_binder_" <k_binder_@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Wednesday, October 06, 2004 4:13 PM
> > Subject: [amibroker] Re: setforeign bug
> >
> >
> > >
> > >
> > > Tomasz,
> > > Let me explain the situation again, in case you are just
brushing
> > > this away as misaligned data again:
> > > there are 2 data streams, qqq and aapl. (This happens with all
> nasdaq
> > > 100 stocks for me).
> > >
> > > This is the formula:
> > > SetForeign("qqq");
> > >> > > qROC = ROC(Close, 3);
> > >> > > RestorePriceArrays();
> > >> > >
> > >> > > Filter = 1;
> > >> > > AddColumn(qROC, "QROC");
> > >
> > > when I "explore" this on qqq, I get a value of qROC=-.22 on
> 1/2/2004
> > > when I "explore" this on aapl, qROC on the bar after 1/2/2004
is -
> .22.
> > >
> > > How can data be misaligned? no matter what the value of aapl, on
> > > 1/2/2004, I expect qROC to be -.22 because it is calculated
based
> on
> > > qqq data, not aapl.
> > >
> > > I would appreciate a quick reply to this problem.
> > >
> > > ken
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "k_binder_" <k_binder_@xxxx>
> wrote:
> > >>
> > >> tomasz,
> > >> This happens not only with aapl but also with other stocks. I
> just
> > >> gave you aapl as an example.
> > >>
> > >> I also use tradestation for intraday trading. I got the data
from
> > >> tradestation and this same formula works fine with TS.
Ofcourse,
> I
> > >> cannot test this at a portfolio level with TS, that's why I
want
> to
> > >> use AB.
> > >>
> > >> ken
> > >>
> > >>
> > >> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
> > > <amibroker@xxxx>
> > >> wrote:
> > >> > Hello,
> > >> >
> > >> > There is no bug, simply your data is misaligned.
> > >> > Check again because AAPL is for sure not updated to the same
> > >> > data as QQQ.
> > >> >
> > >> > Please read the documentation
> > >> > http://www.amibroker.com/f?foreign
> > >> >
> > >> > (about synchronizing arrays)
> > >> >
> > >> > Best regards,
> > >> > Tomasz Janeczko
> > >> > amibroker.com
> > >> > ----- Original Message -----
> > >> > From: "k_binder_" <k_binder_@xxxx>
> > >> > To: <amibroker@xxxxxxxxxxxxxxx>
> > >> > Sent: Wednesday, October 06, 2004 9:17 AM
> > >> > Subject: [amibroker] setforeign bug
> > >> >
> > >> >
> > >> > >
> > >> > >
> > >> > > I have a database with 2 stocks, qqq and aapl in it. Both
are
> > >> daily
> > >> > > data for 2004, upto 9/3/2004. My layout has both charts in
> it.
> > >> > > I run the following code:
> > >> > >
> > >> > > SetForeign("qqq");
> > >> > > qROC = ROC(Close, 3);
> > >> > > RestorePriceArrays();
> > >> > >
> > >> > > Filter = 1;
> > >> > > AddColumn(qROC, "QROC");
> > >> > >
> > >> > > I find that when I "explore" aapl with this
formula, "QROC"
> is
> > >> > > shifted back 1 bar. like ref(qROC, -1) instead of qROC.
When
> I
> > >> select
> > >> > > qqq, everything is properly aligned.
> > >> > >
> > >> > > Has anyone experienced this?
> > >> > >
> > >> > > Any help will be appreciated.
> > >> > > thanks,
> > >> > > ken
> > >> > >
> > >> > >
> > >> > >
> > >> > >
> > >> > >
> > >> > >
> > >> > > Check AmiBroker web page at:
> > >> > > http://www.amibroker.com/
> > >> > >
> > >> > > Check group FAQ at:
> > >> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >> > > Yahoo! Groups Links
> > >> > >
> > >> > >
> > >> > >
> > >> > >
> > >> > >
> > >> > >
> > >> > >
> > >> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > Check AmiBroker web page at:
> > > http://www.amibroker.com/
> > >
> > > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > > Yahoo! Groups Links
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
>
>
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
>
> Yahoo! Groups Sponsor
>
> ADVERTISEMENT
>
>
<http://us.ard.yahoo.com/SIG=129l48c5d/M=295196.4901138.6071305.300117
6/D=gr
>
oups/S=1705632198:HM/EXP=1097162979/A=2128215/R=0/SIG=10se96mf6/*http:
//comp
> anion.yahoo.com> click here
>
> <http://us.adserver.yahoo.com/l?
M=295196.4901138.6071305.3001176/D=groups/S=
> :HM/A=2128215/rand=965840216>
>
>
> _____
>
> Yahoo! Groups Links
>
>
> * To visit your group on the web, go to:
> http://groups.yahoo.com/group/amibroker/
>
>
> * To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
> <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubscribe>
>
>
> * Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service
> <http://docs.yahoo.com/info/terms/> .
>
>
>
>
> [Non-text portions of this message have been removed]
------------------------ Yahoo! Groups Sponsor --------------------~-->
Make a clean sweep of pop-up ads. Yahoo! Companion Toolbar.
Now with Pop-Up Blocker. Get it for free!
http://us.click.yahoo.com/L5YrjA/eSIIAA/yQLSAA/GHeqlB/TM
--------------------------------------------------------------------~->
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|