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"Composite Open and Close are of course correct because open and close
prices occurat the same time on all components (market open/close
times)"
unless you are trading the ASX when the open is staggered over about
10 minutes as stocks are opened in alphabetic order groups
Leaves just the closing price
--
Cheers
Graham
AB-Write >< Professional AFL Writing Service
Yes, I write AFL code to your requirements
http://e-wire.net.au/~eb_kavan/ab_write.htm
On 9/6/05, Tomasz Janeczko <amibroker@xxxxxx> wrote:
> Hello,
>
> Simply adding prices generates "unweighted" index. It is valid technique.
> Dow Jones Industrials is most
> popular example of such index.
>
> Usual approach is to do capitalization-weighting. For this you need to know
> the number of shares issued.
> Such information is available from Quotes Plus. SP 500 is example of
> capitalization-weighted index.
>
> As for composite high and low there is another issue to consider:
> It is not possible to re-create "real-time" High-Low values of composite
> index using EOD data for
> simple fact that Highs and Lows on index components occur at DIFFERENT times
> during the day.
> Simple sum gives just the result that is equivalent to the situation when
> High and Low is hit
> on ALL components at the same time. (very very rare).
> Unfortunatelly without intraday data you have simply no other option.
>
> Composite Open and Close are of course correct because open and close prices
> occur
> at the same time on all components (market open/close times)
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
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