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Dan,
Can not understand why our results ae so different
... and agree that data purity issues would not change much.
Wondering if you are normalizing you data....
I removed my normalizzation and got results more like yours ...
By normalization I mean converting results into
relative form, easiest would be %
When using ATCs, the number of stocks in each cap
group can change based on price fluctuations. This in turn changes the total
values in ATCs wrt to each other, such that if ROC is defined as Close -
Ref(Close,-x) the results will be affected by this phenomena.
A normalized form would be if dividing above by
reference value (and x 100):
ROC = ((Close - Ref(Close,-x)) * 100 /
Ref(Close,-x)) ;
Ara
----- Original Message -----
Sent: Wednesday, December 07, 2005 3:42
AM
Subject: RE: [amibroker] Rel Strength -
Market Cap - Dan Clark (QP3 Bad Data Problems)
Ara,
My chart looks
significantly different from yours. I’m seeing different performance by
Sector and what appears to be rollover from Small to Large cap stocks and
vice-versa. That said…
While I was writing
this memo, I discovered some serious data problems – primarily spikes in the
data. I don’t think that it affects the outcome, but I have to be
sure. So, I’m cleaning out my database.
I found many delisted
stocks still in the QP3 database. I’m cleaning them
out. When complete, I’ll rerun my ATC scans and respond
again.
Regards,
Dan.
From:
amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf Of Ara
Kaloustian
Sent: Tuesday,
December 06, 2005 4:57 PM
To:
AB-Main
Subject: [amibroker]
Rel Strength - Market Cap - Dan Clark
here is a chart that's a bit more
useful
This is ROC (rather than RS). This
compares in style with yours, but I still don't see the Small Caps having any
sytematic larger movements.
The chart shows percent ROC for
Transportation. Othe sectors may be different, but there seems no
systematic trend based on mkt cap.
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