Ara,
I’m not sure why the difference,
either.
Regarding results, remember that I’m
doing a simple ROC of the Sector/Industry indexes. So, the data is
already normalized. I.e., if the index of the Energy sector changes by positive
2% and the Information Sector changes by minus 3%, the percentage values should
still be valid regardless of the difference in amount values.
Regarding the number of stocks in each cap
group… The way I’ve coded it, a stock is categorized as
“Small Cap” based on its latest Market Cap. I.e., number of shares
outstanding times latest day’s Close price as of the time the ATC load is
run.
Below is the “cap” code that I
use. The bold, red text retrieves the close value of the latest bar (using
LastValue() might be better).
Using this method, the components of a Sector
or Industry Market Cap index will not change. Therefore, charted
Market Cap indexes should be valid for all time periods and times.
Notes:
·
One
caveat obviously is new and delisted stocks. These could
changes the number of stocks from bar to bar. I’m working on
changing my code to further normalize the indexes by dividing OHLC (and maybe
volume) values by the number of stocks in the index on that day.
·
Also,
remember that I’m using a Relative Performance Chart. It charts the
ROC from a zero point which is the left edge of the chart.
·
I also
chart the ROC in two ways - “raw” and relative to a market index
(my own or a standard index like S&P 500 or “VTI”).
The values relative to the market index are computed by subtracting the market
value ROC bar value from all symbols ROC values for that bar. That the
market ROC always will be 0 and the others will be relative to the market.
Does this shed any light on the
differences?
Regards,
Dan.
function
MarketCapGet()
{
CurDatabase
= GetDatabaseName();
if(CurDatabase
== "QuotesPlus_Stocks")
{
MarketCap
= round(Close[BarCount
-1] *
GetExtraData("shares")/1000);
}
else
{
MarketCap
= 666; //indicating N/A
}
return
MarketCap ;
}
function
MarketCapCategoryGet(MarketCap)
{
CurDatabase
= GetDatabaseName();
if(CurDatabase
== "QuotesPlus_Stocks")
{
if
(MarketCap < 1000)
MarketCapCategory=
"Small";
else
{
if
(MarketCap >= 1000 AND MarketCap < 5000)
MarketCapCategory=
"Mid";
else
MarketCapCategory=
"Large";
}
}
else
{
MarketCapCategory= "N/A"; //indicating
N/A
}
return
MarketCapCategory;
}
From:
amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Ara Kaloustian
Sent: Saturday, December 10, 2005
10:27 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Rel
Strength - Market Cap - Dan Clark
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)) ;
----- 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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