Stefan,
Again, another great post. Thanks.
Questions about the issues you raised
below…
Regarding, “Survivorship bias,
especially in the Small & Midcap segments”, I’m not familiar
with this. Could explain more?
Regarding, “Actual prices vs. split
adjusted prices”, I understand the concept in general, but don’t
understand the significance of the issue. Is it related to scans and
backtesting that they will change because they include specific price levels
(e.g., close < $60), or is it something more subtle?
On the second issue, I would think
(simplistically) that you would want price-adjusted information under all circumstances
because it would allow you to match apples to apples. Am I missing something
here?
Again, many thanks and best regards,
Dan.
From:
amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of sgfuchs
Sent: Wednesday, July 20, 2005
11:25 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Tomasz,
GetExtraData() Array Question
Dan you're right in your assumption that TC uses a subset of MG
Sector and Industrygroups. I recall, that we had a
similar
discussion over on the TC board for a while. I
tcame up again
recently but I haven't followed all the posts around
this subject.
Maybe you remember that Worden told it's clients
the reasoning for
the change to TC2005. One of their arguments was,
that the
architecure of their current plattform ( TC2000
that was ) does not
leave any room for further improvements and major
changes.....
Whatever this means. Could be that they recognized
the limitations
you described and wanted to prepare TC for the
future. However, I
can live with it as it is as long as my scans
produce profitable
trades ;-)
One or better two major issues with all the
backtesting stuff are :
1. Survivorship bias, especially in the Small
& Midcap segments
2. Actual prices vs. split adjusted prices.
The latter has already been adressed in
vectorvest, where you can
select actual prices for backtesting purposes. Any
scan which
includes something like ( close > 5 $ ) brings
completely different
results when using actual data rather than all the
split adjusted
data because other stocks are selected.
VV also confirmed yesterday, that they work on
including delisted
stocks in their database again to enable users to
produce more
realistic backtest results. - After all, leaving
delisted issues in
the database means also less work for them - the
database just gets
larger, of course.
They offer already some fundamentals like P/E
ratios and , of
course, their own VV ratios with a history of up
to 9 years back for
most of the 8000+ stocks in the database.
So you can develop a certain strategy based on
fundamentals and , if
you like, some technicals, and check , which
stocks would have been
selected on historic dates with exactly this
strategy and how they
would have performed.
The whole test can be done also on a portfolio
level.
Again, if one has a working system, by all means,
don't waste your
time with too much of backtesting and don't fall
prey to the
paralysis by analysis syndrom ;-)).
Good Luck
Stefan
--- In amibroker@xxxxxxxxxxxxxxx, "Dan
Clark" <dan_public@xxxx>
wrote:
> Stefan,
>
>
>
> I don't have an issue with the Industry Groups.
They seem
reasonable and
> rational. I have an issue
with the Industry to Sector mapping.
>
>
>
> If you look carefully, you'll notice that
there are never more
than 9
> Industry groups in a Sector. This
allows Worden to code the
Sectors ending
> with "0".
>
>
>
> The problem is that this results in more
Sectors than is
reasonable. For
> example, "Tobacco" is a
Sector. "Drugs" is a sector. With other
schemas,
> these would be higher-level industries
grouped under other
Sectors. And,
> it makes it difficult to compare this to
other sources of
information.
>
>
>
> I looked up Hemscott. There system is
composed of, ".9
macroeconomic
> sectors, 31 business segments and 215
industry groups." Below is
their
> hierarchy. Notice that the hierarchy
identifiers (numbers) are
not related
> to the Worden Sector/Industry coding.
>
>
>
> It looks like Worden eliminated the first
level of the hierarchy
and renamed
> the Hemscott "Business Segments" to
"Sector". I didn't realize
this before.
> Now, I'll have to think about it and decide
what to do.
>
>
>
> Regards,
>
>
>
> Dan.
>
>
>
>
>
>
> 1
>
> BASIC MATERIALS
>
>
>
>
> 11
>
> CHEMICALS
>
>
>
>
>
>
> 110
>
> Chemicals - Major Diversified
>
>
>
>
>
>
> 111
>
> Synthetics
>
>
>
>
>
>
> 112
>
> Agricultural Chemicals
>
>
>
>
>
>
> 113
>
> Specialty Chemicals
>
>
>
>
> 12
>
> ENERGY
>
>
>
>
>
>
> 120
>
> Major Integrated Oil & Gas
>
>
>
>
>
>
> 121
>
> Independent Oil & Gas
>
>
>
>
>
>
> 122
>
> Oil & Gas Refining & Marketing
>
>
>
>
>
>
> 123
>
> Oil & Gas Drilling & Exploration
>
>
>
>
>
>
> 124
>
> Oil & Gas Equipment & Services
>
>
>
>
>
>
> 125
>
> Oil & Gas Pipelines
>
>
>
>
> 13
>
> METALS & MINING
>
>
>
>
>
>
> 130
>
> Steel & Iron
>
>
>
>
>
>
> 131
>
> Copper
>
>
>
>
>
>
> 132
>
> Aluminum
>
>
>
>
>
>
> 133
>
> Industrial Metals & Minerals
>
>
>
>
>
>
> 134
>
> Gold
>
>
>
>
>
>
> 135
>
> Silver
>
>
>
>
>
>
> 136
>
> Nonmetallic Mineral Mining
>
>
>
>
> 2
>
> CONGLOMERATES
>
>
>
>
> 21
>
> CONGLOMERATES
>
>
>
>
>
>
> 210
>
> Conglomerates
>
>
>
>
> 3
>
> CONSUMER GOODS
>
>
>
>
> 31
>
> CONSUMER DURABLES
>
>
>
>
>
>
> 310
>
> Appliances
>
>
>
>
>
>
> 311
>
> Home Furnishings & Fixtures
>
>
>
>
>
>
> 312
>
> Housewares & Accessories
>
>
>
>
>
>
> 313
>
> Business Equipment
>
>
>
>
>
>
> 314
>
> Electronic Equipment
>
>
>
>
>
>
> 315
>
> Toys & Games
>
>
>
>
>
>
> 316
>
> Sporting Goods
>
>
>
>
>
>
> 317
>
> Recreational Goods, Other
>
>
>
>
>
>
> 318
>
> Photographic Equipment & Supplies
>
>
>
>
> 32
>
> CONSUMER NON-DURABLES
>
>
>
>
>
>
> 320
>
> Textile - Apparel Clothing
>
>
>
>
>
>
> 321
>
> Textile - Apparel Footwear & Accessories
>
>
>
>
>
>
> 322
>
> Rubber & Plastics
>
>
>
>
>
>
> 323
>
> Personal Products
>
>
>
>
>
>
> 324
>
> Paper & Paper Products
>
>
>
>
>
>
> 325
>
> Packaging & Containers
>
>
>
>
>
>
> 326
>
> Cleaning Products
>
>
>
>
>
>
> 327
>
> Office Supplies
>
>
>
>
> 33
>
> AUTOMOTIVE
>
>
>
>
>
>
> 330
>
> Auto Manufacturers - Major
>
>
>
>
>
>
> 331
>
> Trucks & Other Vehicles
>
>
>
>
>
>
> 332
>
> Recreational Vehicles
>
>
>
>
>
>
> 333
>
> Auto Parts
>
>
>
>
> 34
>
> FOOD & BEVERAGE
>
>
>
>
>
>
> 340
>
> Food - Major Diversified
>
>
>
>
>
>
> 341
>
> Farm Products
>
>
>
>
>
>
> 342
>
> Processed & Packaged Goods
>
>
>
>
>
>
> 343
>
> Meat Products
>
>
>
>
>
>
> 344
>
> Dairy Products
>
>
>
>
>
>
> 345
>
> Confectioners
>
>
>
>
>
>
> 346
>
> Beverages - Brewers
>
>
>
>
>
>
> 347
>
> Beverages - Wineries & Distillers
>
>
>
>
>
>
> 348
>
> Beverages - Soft Drinks
>
>
>
>
> 35
>
> TOBACCO
>
>
>
>
>
>
> 350
>
> Cigarettes
>
>
>
>
>
>
> 351
>
> Tobacco Products, Other
>
>
>
>
> 4
>
> FINANCIAL
>
>
>
>
> 41
>
> BANKING
>
>
>
>
>
>
> 410
>
> Money
Center Banks
>
>
>
>
>
>
> 411
>
> Regional - Northeast Banks
>
>
>
>
>
>
> 412
>
> Regional - Mid-Atlantic Banks
>
>
>
>
>
>
> 413
>
> Regional - Southeast Banks
>
>
>
>
>
>
> 414
>
> Regional - Midwest
Banks
>
>
>
>
>
>
> 415
>
> Regional - Southwest Banks
>
>
>
>
>
>
> 416
>
> Regional - Pacific Banks
>
>
>
>
>
>
> 417
>
> Foreign Money Center
Banks
>
>
>
>
>
>
> 418
>
> Foreign Regional Banks
>
>
>
>
>
>
> 419
>
> Savings & Loans
>
>
>
>
> 42
>
> FINANCIAL SERVICES
>
>
>
>
>
>
> 420
>
> Investment Brokerage - National
>
>
>
>
>
>
> 421
>
> Investment Brokerage - Regional
>
>
>
>
>
>
> 422
>
> Asset Management
>
>
>
>
>
>
> 423
>
> Diversified Investments
>
>
>
>
>
>
> 424
>
> Credit Services
>
>
>
>
>
>
> 425
>
> Closed-End Fund - Debt
>
>
>
>
>
>
> 426
>
> Closed-End Fund - Equity
>
>
>
>
>
>
> 427
>
> Closed-End Fund - Foreign
>
>
>
>
> 43
>
> INSURANCE
>
>
>
>
>
>
> 430
>
> Life Insurance
>
>
>
>
>
>
> 431
>
> Accident & Health Insurance
>
>
>
>
>
>
> 432
>
> Property & Casualty Insurance
>
>
>
>
>
>
> 433
>
> Surety & Title Insurance
>
>
>
>
>
>
> 434
>
> Insurance Brokers
>
>
>
>
> 44
>
> REAL ESTATE
>
>
>
>
>
>
> 440
>
> REIT - Diversified
>
>
>
>
>
>
> 441
>
> REIT - Office
>
>
>
>
>
>
> 442
>
> REIT - Healthcare Facilities
>
>
>
>
>
>
> 443
>
> REIT - Hotel/Motel
>
>
>
>
>
>
> 444
>
> REIT - Industrial
>
>
>
>
>
>
> 445
>
> REIT - Residential
>
>
>
>
>
>
> 446
>
> REIT - Retail
>
>
>
>
>
>
> 447
>
> Mortgage Investment
>
>
>
>
>
>
> 448
>
> Property Management
>
>
>
>
>
>
> 449
>
> Real Estate Development
>
>
>
>
> 5
>
> HEALTHCARE
>
>
>
>
> 51
>
> DRUGS
>
>
>
>
>
>
> 510
>
> Drug Manufacturers - Major
>
>
>
>
>
>
> 511
>
> Drug Manufacturers - Other
>
>
>
>
>
>
> 512
>
> Drugs - Generic
>
>
>
>
>
>
> 513
>
> Drug Delivery
>
>
>
>
>
>
> 514
>
> Drug Related Products
>
>
>
>
>
>
> 515
>
> Biotechnology
>
>
>
>
>
>
> 516
>
> Diagnostic Substances
>
>
>
>
> 52
>
> HEALTH SERVICES
>
>
>
>
>
>
> 520
>
> Medical Instruments & Supplies
>
>
>
>
>
>
> 521
>
> Medical Appliances & Equipment
>
>
>
>
>
>
> 522
>
> Health Care Plans
>
>
>
>
>
>
> 523
>
> Long-Term Care Facilities
>
>
>
>
>
>
> 524
>
> Hospitals
>
>
>
>
>
>
> 525
>
> Medical Laboratories & Research
>
>
>
>
>
>
> 526
>
> Home Health Care
>
>
>
>
>
>
> 527
>
> Medical Practitioners
>
>
>
>
>
>
> 528
>
> Specialized Health Services
>
>
>
>
> 6
>
> INDUSTRIAL GOODS
>
>
>
>
> 61
>
> AEROSPACE/DEFENSE
>
>
>
>
>
>
> 610
>
> Aerospace/Defense - Major Diversified
>
>
>
>
>
>
> 611
>
> Aerospace/Defense Products & Services
>
>
>
>
> 62
>
> MANUFACTURING
>
>
>
>
>
>
> 620
>
> Farm & Construction Machinery
>
>
>
>
>
>
> 621
>
> Industrial Equipment & Components
>
>
>
>
>
>
> 622
>
> Diversified Machinery
>
>
>
>
>
>
> 623
>
> Pollution & Treatment Controls
>
>
>
>
>
>
> 624
>
> Machine Tools & Accessories
>
>
>
>
>
>
> 625
>
> Small Tools & Accessories
>
>
>
>
>
>
> 626
>
> Metal Fabrication
>
>
>
>
>
>
> 627
>
> Industrial Electrical Equipment
>
>
>
>
>
>
> 628
>
> Textile Manufacturing
>
>
>
>
> 63
>
> MATERIALS & CONSTRUCTION
>
>
>
>
>
>
> 630
>
> Residential Construction
>
>
>
>
>
>
> 631
>
> Manufactured Housing
>
>
>
>
>
>
> 632
>
> Lumber, Wood Production
>
>
>
>
>
>
> 633
>
> Cement
>
>
>
>
>
>
> 634
>
> General Building Materials
>
>
>
>
>
>
> 635
>
> Heavy Construction
>
>
>
>
>
>
> 636
>
> General Contractors
>
>
>
>
>
>
> 637
>
> Waste Management
>
>
>
>
> 7
>
> SERVICES
>
>
>
>
> 71
>
> LEISURE
>
>
>
>
>
>
> 710
>
> Lodging
>
>
>
>
>
>
> 711
>
> Resorts & Casinos
>
>
>
>
>
>
> 712
>
> Restaurants
>
>
>
>
>
>
> 713
>
> Specialty Eateries
>
>
>
>
>
>
> 714
>
> Gaming Activities
>
>
>
>
>
>
> 715
>
> Sporting Activities
>
>
>
>
>
>
> 716
>
> General Entertainment
>
>
>
>
> 72
>
> MEDIA
>
>
>
>
>
>
> 720
>
> Advertising Agencies
>
>
>
>
>
>
> 721
>
> Marketing Services
>
>
>
>
>
>
> 722
>
> Entertainment - Diversified
>
>
>
>
>
>
> 723
>
> Broadcasting - TV
>
>
>
>
>
>
> 724
>
> Broadcasting - Radio
>
>
>
>
>
>
> 725
>
> CATV Systems
>
>
>
>
>
>
> 726
>
> Movie Production, Theaters
>
>
>
>
>
>
> 727
>
> Publishing - Newspapers
>
>
>
>
>
>
> 728
>
> Publishing - Periodicals
>
>
>
>
>
>
> 729
>
> Publishing - Books
>
>
>
>
> 73
>
> RETAIL
>
>
>
>
>
>
> 730
>
> Apparel Stores
>
>
>
>
>
>
> 731
>
> Department Stores
>
>
>
>
>
>
> 732
>
> Discount, Variety Stores
>
>
>
>
>
>
> 733
>
> Drug Stores
>
>
>
>
>
>
> 734
>
> Grocery Stores
>
>
>
>
>
>
> 735
>
> Electronics Stores
>
>
>
>
>
>
> 736
>
> Home Improvement Stores
>
>
>
>
>
>
> 737
>
> Home Furnishing Stores
>
>
>
>
>
>
> 738
>
> Auto Parts Stores
>
>
>
>
>
>
> 739
>
> Catalog & Mail Order Houses
>
>
>
>
> 74
>
> SPECIALTY RETAIL
>
>
>
>
>
>
> 740
>
> Sporting Goods Stores
>
>
>
>
>
>
> 741
>
> Toy & Hobby Stores
>
>
>
>
>
>
> 742
>
> Jewelry Stores
>
>
>
>
>
>
> 743
>
> Music & Video Stores
>
>
>
>
>
>
> 744
>
> Auto Dealerships
>
>
>
>
>
>
> 745
>
> Specialty Retail, Other
>
>
>
>
> 75
>
> WHOLESALE
>
>
>
>
>
>
> 750
>
> Auto Parts Wholesale
>
>
>
>
>
>
> 751
>
> Building Materials Wholesale
>
>
>
>
>
>
> 752
>
> Industrial Equipment Wholesale
>
>
>
>
>
>
> 753
>
> Electronics Wholesale
>
>
>
>
>
>
> 754
>
> Medical Equipment Wholesale
>
>
>
>
>
>
> 755
>
> Computers Wholesale
>
>
>
>
>
>
> 756
>
> Drugs Wholesale
>
>
>
>
>
>
> 757
>
> Food Wholesale
>
>
>
>
>
>
> 758
>
> Basic Materials Wholesale
>
>
>
>
>
>
> 759
>
> Wholesale, Other
>
>
>
>
> 76
>
> DIVERSIFIED SERVICES
>
>
>
>
>
>
> 760
>
> Business Services
>
>
>
>
>
>
> 761
>
> Rental & Leasing Services
>
>
>
>
>
>
> 762
>
> Personal Services
>
>
>
>
>
>
> 763
>
> Consumer Services
>
>
>
>
>
>
> 764
>
> Staffing & Outsourcing Services
>
>
>
>
>
>
> 765
>
> Security & Protection Services
>
>
>
>
>
>
> 766
>
> Education & Training Services
>
>
>
>
>
>
> 767
>
> Technical Services
>
>
>
>
>
>
> 768
>
> Research Services
>
>
>
>
>
>
> 769
>
> Management Services
>
>
>
>
> 77
>
> TRANSPORTATION
>
>
>
>
>
>
> 770
>
> Major Airlines
>
>
>
>
>
>
> 771
>
> Regional Airlines
>
>
>
>
>
>
> 772
>
> Air Services, Other
>
>
>
>
>
>
> 773
>
> Air Delivery & Freight Services
>
>
>
>
>
>
> 774
>
> Trucking
>
>
>
>
>
>
> 775
>
> Shipping
>
>
>
>
>
>
> 776
>
> Railroads
>
>
>
>
> 8
>
> TECHNOLOGY
>
>
>
>
> 81
>
> COMPUTER HARDWARE
>
>
>
>
>
>
> 810
>
> Diversified Computer Systems
>
>
>
>
>
>
> 811
>
> Personal Computers
>
>
>
>
>
>
> 812
>
> Computer Based Systems
>
>
>
>
>
>
> 813
>
> Data Storage Devices
>
>
>
>
>
>
> 814
>
> Networking & Communication Devices
>
>
>
>
>
>
> 815
>
> Computer Peripherals
>
>
>
>
> 82
>
> COMPUTER SOFTWARE & SERVICES
>
>
>
>
>
>
> 820
>
> Multimedia & Graphics Software
>
>
>
>
>
>
> 821
>
> Application Software
>
>
>
>
>
>
> 822
>
> Technical & System Software
>
>
>
>
>
>
> 823
>
> Security Software & Services
>
>
>
>
>
>
> 824
>
> Information Technology Services
>
>
>
>
>
>
> 825
>
> Healthcare Information Services
>
>
>
>
>
>
> 826
>
> Business Software & Services
>
>
>
>
>
>
> 827
>
> Information & Delivery Services
>
>
>
>
> 83
>
> ELECTRONICS
>
>
>
>
>
>
> 830
>
> Semiconductor - Broad Line
>
>
>
>
>
>
> 831
>
> Semiconductor - Memory Chips
>
>
>
>
>
>
> 832
>
> Semiconductor - Specialized
>
>
>
>
>
>
> 833
>
> Semiconductor - Integrated Circuits
>
>
>
>
>
>
> 834
>
> Semiconductor Equipment & Materials
>
>
>
>
>
>
> 835
>
> Printed Circuit Boards
>
>
>
>
>
>
> 836
>
> Diversified Electronics
>
>
>
>
>
>
> 837
>
> Scientific & Technical Instruments
>
>
>
>
> 84
>
> TELECOMMUNICATIONS
>
>
>
>
>
>
> 840
>
> Wireless Communications
>
>
>
>
>
>
> 841
>
> Communication Equipment
>
>
>
>
>
>
> 842
>
> Processing Systems & Products
>
>
>
>
>
>
> 843
>
> Long Distance Carriers
>
>
>
>
>
>
> 844
>
> Telecom Services - Domestic
>
>
>
>
>
>
> 845
>
> Telecom Services - Foreign
>
>
>
>
>
>
> 846
>
> Diversified Communication Services
>
>
>
>
> 85
>
> INTERNET
>
>
>
>
>
>
> 850
>
> Internet Service Providers
>
>
>
>
>
>
> 851
>
> Internet Information Providers
>
>
>
>
>
>
> 852
>
> Internet Software & Services
>
>
>
>
> 9
>
> UTILITIES
>
>
>
>
> 91
>
> UTILITIES
>
>
>
>
>
>
> 910
>
> Foreign Utilities
>
>
>
>
>
>
> 911
>
> Electric Utilities
>
>
>
>
>
>
> 912
>
> Gas Utilities
>
>
>
>
>
>
> 913
>
> Diversified Utilities
>
>
>
>
>
>
> 914
>
> Water Utilities
>
>
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of sgfuchs
> Sent: Wednesday, July 20, 2005 9:17 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Tomasz,
GetExtraData() Array Question
>
>
>
> Dan,
> TC2000/5 Industrygroups are the same as Media
general
> Industrygroups, now Hemscott, Coredatagroup.
I' dont know about
the
> in's and out's of TC2005 coding and database
architecture, but the
> number and organisation of industrygroups is
according to Wordens
> data provider.
>
> QP uses the same as Yahoo / Reuters, I
believe. Hence the few
> differences.
>
> regards
> Stefan
>
> http://www.coredatagroup.com/db/groups.html
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dan
Clark" <dan_public@xxxx>
> wrote:
> > Jason,
> >
> >
> >
> > It turns out that this changed with the
release of TC2005.
Now,
> you can
> > have TC2005 running on two or more
computers. The first two
> computers are
> > included with your standard
subscription. Each additional
> computer is
> > $10/month (too high, IMO).
> >
> >
> >
> > I have TC2005 (and AB) running on my
laptop and workstation.
The
> good news
> > is that the TC2005 parameters (scans,
PCFs, preferences, trend
> lines,
> > indicators, etc) can be uploaded and
saved to the TC servers and
> then
> > downloaded to another computer. It
makes it simple to keep two
> computers in
> > sync.
> >
> >
> >
> > Even with this benefit, the limitations
of the TC2005 database
are
> starting
> > to wear on me. And, I'm
starting to question the benefit of
the
> TC Sector
> > categorization. It looks
like their Industry to Sector mapping
> is related
> > to limitations in their database and NOT
based on a rational
> mapping.
> >
> >
> >
> > Regards,
> >
> >
> >
> > Dan.
> >
> >
> >
> > _____
> >
> > From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
> On Behalf
> > Of Jason Hart
> > Sent: Wednesday, July 20, 2005 7:14 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: RE: [amibroker] Re: Tomasz,
GetExtraData() Array
Question
> >
> >
> >
> > Dan - I like TC2K, especially their
sentiment indicators, but
the
> fact that
> > they don't allow you to use their
software on multiple computers
> is the
> > reason why I went with QP.
> >
> >
> >
> > JAson
> >
> > Dan Clark <dan_public@xxxx> wrote:
> >
> > Stefan,
> >
> >
> >
> > Not trying to hijack this thread, but I
noticed that you use
both
> QP and
> > TC2005. (I'm interested
because I'm thinking of replacing
TC2005
> with QP.)
> > Why have both? What benefits does
TC2005 provide that QP does
not?
> >
> >
> >
> > Thanks and regards,
> >
> >
> >
> > Dan.
> >
> >
> >
> >
> > _____
> >
> >
> > From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
> On Behalf
> > Of sgfuchs
> > Sent: Wednesday, July 20, 2005 2:41 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Tomasz,
GetExtraData() Array Question
> >
> >
> >
> > RJS
> >
> > AB provides a list of QP datafields
which can be accessed via
> > getextradata function - see helpfile
"Getextradata" function.
> >
> > In order to retrieve "historical
data" for these fields ( if
> > provided
> > by QP )you need to use also the
"ref(Getextradata("XXXXX")"
> function
> > and to enter the days/periods for how
long AB should look back
in
> > the QP database.
> >
> > EPSRank i.e. is available back to
January 8th. 02
> >
> > I have created a fairly complex strategy
/ Exploration /
> > Tradingsystem around the datafields
available from QP which I
can
> > backtest in AB because there's no other
way to check the
validity
> of
> > stock selections performed in SPP based
on fundamentals.
However,
> I
> > needed to create a lot own
"datafields" and ratios to be
> calculated
> > by AB in order to "simulate"
rthe selection and ranking process
in
> > SPP/ HGSI. It seems, that this system
works quite well in real
> live
> > trading. But the possibilities for
backtesting are still very
much
> > limited due to the fact, that I cannot
access certain QP
> datafields
> > in AB ( in particular the ranking values
and A/D letter ranks )
> >
> > Hence I would second the proposal to
include some more QP
> > datafields - at least those, which one
can already access also
in
> > Excel via the QP Excel plugin. For most
other fields, I fear,
they
> > are calculated during each update and / or
no historical figures
> are
> > kept.
> >
> > That's one of the drawbacks of QP / HGSI
- backtesting of
> > fundamental
> > strategies or combined fundamental /
technical strategies is
> > impossible without 3rd. party software
like AB - and even this
> > combination is rather limited.
> >
> > I used Vectorvest Online including their
ProTrader application
for
> a
> > 5
> > week trial because it allows a quite
convenient backtesting of
> > fundamental strategies because it stores
historic fundamental
> values
> > and their ratings, partially back to 9
years. The software is
very
> > easy to use and very stable. However, TA
is
> > However - 60.- etxra a month + a 495.-
USD one time fee for
> > Pro-Trader
> > in addition to my current data
subscriptions is a bit too much
for
> > me.
> > ( I use already AB, Omnitrader, QP and
TC2005 )
> >
> > 123portfolio.com allows also portfolio
level backtesting on more
> > than
> > 500 fundamental andf technical
parameters, including a quite
> > sophisticated ranking system for
selection of trades. Several
> users
> > over there are very educated and
experienced. Some of them have
> > already posted their real live portfolio
results vs. hteir
> > backtesting
> > strategies. At least from these documents,
one can draw the
> > conclusion, that this stuff works - and
it has to, because it
makes
> > no
> > sense to have a portfolio turnover of
500% a year with mediocre
> > results.
> >
> > For what I can see, 123portfolio
standard folio's outperform the
> S+P
> > by about 40% a year. Take this with a
grain of salt - almost all
> > strategies are small cap related and
hence the SP 600 or RUT
would
> > be
> > a more realistic comparison for
perfomance.
> > I compare those results with either small-cap
mutual funds or
the
> > new
> > Powershares ETF's ( i.e. PWO, PWC )
because they offer a
> mechanical
> > way to invest in a quantitative strategy
without the hassel of a
> > 500%
> > portfolio turnover / year and no tax
problems due to shortterm
> > gains.
> > Up 'til now, their performance is very
impressive for Indexbased
> > ETF's
> > ( Intellidex Indexes ) see
www.powershares.com
> >
> > regards
> > Stefan
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx,
"razorruss17" <rsebring@xxxx>
> > wrote:
> > > Please Help!
> > >
> > >
> > > Gary over at Quotes-Plus told me on QP's
message board that QP
> > > database contains historical
earnings and revenues data
fields.
> If
> > > this is the case shouldn't we be
able to use the GetExtraData()
> > > command to extract array's beyond
the QRS, and EPSRank arrays?
> > There
> > > seems to be a strong interest in
many QP and Amibroker users
to
> be
> > > able to accomplish this. What's the
verdict, Tomasz? Anyone??
> > >
> > >
> > > RJS (Russ)
> >
> >
> >
> >
> >
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> >
> >
> >
> >
> >
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