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>5) imo, the OHLC bar structure is obsolete. Imagine the design
>advantage if you knew the HL precedence. Of course, in the majority
of >cases, you can be sneaky and calculate HL precedence by assuming
that >the price follows path of least resistance from the Open to the
>Close... or subscribe to real-time data.
Well said, and I agree with this.
I would add that a fix would be trivial - simply supply one additional
bit (or field) of data which indicates the HL precedence! IMO, data
vendors (starting with the exchanges) are negligently cavalier in
failing to provide this simple, factual bit of information about what
actually happened (when the only purpose of the data to begin with is
to provide a record of _what actually happened_ !).
While I'm on this particular soapbox, the same thing applies to
splits, IMO. "Adjusted" data in truth means "actually invalid for
all analysis other than the exact scenario "adjusted for".
The correct approach, IMO, would be to supply the historical actual
prices as traded on each day, with additional fields indicating splits
or other relevant actions. It would then be the proper job of the
application software to display "continuous" charts if requested by
the user, according to the various optional ways that can/could be
done. IOW, "adjustment" needs to be a user-specified action,
according to the algorithm appropriate for the intended purpose(s).
For many purposes, no adjustment at all would be required or desired,
because indicators (whose discontinuities might alarm!) would not be
at the heart of system. Instead, the strategies would simply be aware
of share count changes at split points and update the shares held (and
share price) for position open across that point. This would create
calculations and results which would be exactly accurate historically,
in all respects, margin-wise, percentage-wise, capital-use-wise, etc. etc.
User software would be more complex, and users would have more to
think about - but that would all be much preferable to everything one
does simply being silently wrong. (Unless, of course, you are
counting on that to provide a continuous supply of sheep to be shorn!)
Please note that this group is for discussion between users only.
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