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Dave
Thought I'd show a coupla pictures of what the survivorship issue looks like with various tickers in Russell indexes. Survivorship has to do with the life of a ticker or company. It may be in today's index but not in existence last year or may be dropped in next year's index because its gone as well. So the "counts" or trades of a basket of tickers changes over time. I'm no expert, but most folks I've talked to about this issue, say they feel comfortable only going back at most two years. Some say, one year.
Here's two pictures. Both are shots of number of tickers traded each day in R1K, R2K, R3K, R MicroCap.
"Counts" is from last year's list of stocks in each index. June or July 2005
"Counts Updated" is from this year's list . June or July 2006.
Dramatic differences in the rise and fall of the counts.
Does it matter. I use this stuff for daily breadth indicators. " Breadth and "Breadth Updated" are shots similar to "counts"and "counts Updated". One caveat, I haven't updated the tickers in Nyse and Nasdaq, so the charts on these two should be the same.
Does it matter? Well, yes and no. New Highs /New Lows ( 6 week) , no, doesn't show much difference. Blue Line, Chaiken 21 day uptrend, I use as Advance/Decline Line, yes it matters. R2000 line is much stronger with old data. It passed 60% a day ago but it only hit 55% on new chart and looks like it may go back below 50%. On the other hand, R1000 Blue Line was struggling to get over 50% on old data, it now appears to be holding above the 50% line.. Chaiken Relative Volume bars, not much difference.
BTW, Werner Ganz is the source for all these charts. He's been involved in the Fast Track community for many years and has been a valuable source for much of the ground breaking work in small caps, volume, and many more studies. His latest work has to do with hedged mutual fund strategies. Here's his web site,
http://www.greenmountainaccess.net/~wwgansz/
Hope this helps.
Dave
----- Original Message -----
From: MarketMonk777
To: amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, July 22, 2006 11:36 PM
Subject: RE: [amibroker] Method to Copy Russell files
Dave,
Thanks for creating these ticker lists and sharing them with us. Would it be worthwhile to save them somewhere on the files section? Any others you might be interested in? I would be glad to lend a hand.
Dave
PS Dingo, thanks for sharing that neat little copy text tool. I learn something new each day.
PS Duke, that was a big time saving tip, thanks.
------------------------------------------------------------------------------
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of David Fitch
Sent: Saturday, July 22, 2006 6:46 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Method to Copy Russell files
Thanks Fred
That's just about what I was doing which I thought was very labor intensive. Thought there might be a simpler way. I also do the R1K, R2k, and R Micro. Duke's suggestion to use iShare web site helps because its already in Excel format and all the junk left over from the pdf to excel conversion is cleaned up.
I'll save some a little time. Here's all 4 files in tls format.
Dave
----- Original Message -----
From: Fred S. Esch
To: amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, July 22, 2006 3:52 PM
Subject: RE: [amibroker] Method to Copy Russell files
Dear David,
About two weeks ago I needed to build a fresh Russell 2000 ticker list for Amibroker. I converted the PDF from the Russell website (http://www.russell.com/us/indexes/us/default.asp) into a .txt file via Excel and ultimately into a .tls file via NotePad for Amibroker. I've attached both the Russell 2000 PDF and the .tls file for your review. You will note that the Russell is fairly current (June 30, 2006) but there are only 1993 tickers; this is normal as stocks fall off the listing during the year.
Regards,
Fred
----------------------------------------------------------------------------
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of David Fitch
Sent: Saturday, July 22, 2006 3:24 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Method to Copy Russell files
Thanks Duke
I'll give a look.
Dave
----- Original Message -----
From: "Lists" <Lists@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>; <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, July 22, 2006 3:04 PM
Subject: Re: [amibroker] Method to Copy Russell files
> David,
>
> You can also download the Russell holdings (as well as other indices) from
the ishares website. You have to register but its free and you can get an
excel or csv file which is easier than trying to copy from the Russell
PDF's. Attached is what the Russell 2000 looks like.
>
> Regards,
>
> Duke jones, CMT
>
>
> > -------Original Message-------
> > From: David Fitch <davidfitch@xxxxxxxxxxx>
> > Subject: Re: [amibroker] Method to Copy Russell files
> > Sent: 22 Jul '06 21:49
> >
> > Here ya go
> >
> >
> > [LINK: http://www.russell.com/us/indexes/us/membership.asp]
> > http://www.russell.com/us/indexes/us/membership.asp
> >
> >
> > Thanks
> >
> > dave
> >
> >
> > ----- Original Message -----
> >
> > FROM: [LINK: mailto:dingo@xxxxxxxxxxxx] dingo
> >
> > TO: [LINK: mailto:amibroker@xxxxxxxxxxxxxxx] amibroker@xxxxxxxxxxxxxxx
> >
> > SENT: Saturday, July 22, 2006 2:40 PM
> >
> > SUBJECT: RE: [amibroker] Method to Copy Russell files
> >
> >
> > Gimme a link to the pdf so I can take a fresh look.
> >
> >
> > d
> >
> >
> > --------------------
> > FROM: [LINK: mailto:amibroker@xxxxxxxxxxxxxxx]
amibroker@xxxxxxxxxxxxxxx
> > [mailto:amibroker@xxxxxxxxxxxxxxx] ON BEHALF OF David Fitch
> > SENT: Saturday, July 22, 2006 5:28 PM
> > TO: [LINK: mailto:amibroker@xxxxxxxxxxxxxxx] amibroker@xxxxxxxxxxxxxxx
> > SUBJECT: Re: [amibroker] Method to Copy Russell files
> >
> >
> > Thanks d
> >
> > I didn't find the key to change the mouse to text but I did use
> > File/Save as Text...
> >
> > Same thing?
> >
> > If so , I still gotta go through getting rid of extra stuff like
company
> > names, headers, disclaimers, page numbers. This I've done in past by
> > importing txt file to excel and manually cleaning up. Then since AB
> > won't recogize an excel type file, right ? , I cut and past the
tickers
> > back to text file.
> >
> > Now I can import.
> >
> > Probably making the tuffer'n it is.
> >
> > dave
> >
> >
> > ----- Original Message -----
> >
> > FROM: [LINK: mailto:dingo@xxxxxxxxxxxx] dingo
> >
> > TO: [LINK: mailto:amibroker@xxxxxxxxxxxxxxx] amibroker@xxxxxxxxxxxxxxx
> >
> >
> > SENT: Saturday, July 22, 2006 1:55 PM
> >
> > SUBJECT: RE: [amibroker] Method to Copy Russell files
> >
> >
> > The key is to change the mouse to the text select tool then you can
use
> > that to copy/paste out of the pdf.
> >
> >
> > d
> >
> >
> > --------------------
> > FROM: [LINK: mailto:amibroker@xxxxxxxxxxxxxxx]
amibroker@xxxxxxxxxxxxxxx
> > [mailto:amibroker@xxxxxxxxxxxxxxx] ON BEHALF OF David Fitch
> > SENT: Saturday, July 22, 2006 4:48 PM
> > TO: [LINK: mailto:amibroker@xxxxxxxxxxxxxxx] amibroker@xxxxxxxxxxxxxxx
> > SUBJECT: [amibroker] Method to Copy Russell files
> >
> >
> > I'm trying to copy the various Russell files, in PDF format, into
AB.
> > I've forgotten how I did it last year. I believe it needs to be
changed
> > to TXT file to import into AB. Can someone outline the steps. PDF to
> > Txt to Excel . Clean up tickers in Excel back to Txt then import to
> > AB?
> >
> >
> > I'm probably complicating this but my old brains cells seem a bit
fuzzed
> > up!
> >
> >
> > Thanks
> >
> >
> > Dave
> >
> >
>
>
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