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Yes but 10 minutes is still better than several hours :-)
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Graham" <kavemanperth@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, September 06, 2005 12:15 PM
Subject: Re: [amibroker] Creating Indexes with AddToComposite
> "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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