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I started down this road a while ago. In the end I decided I didn't have the
time or energy. What decided me was the realization that, even if I managed
to get the index list changes back to the dawn of time, I couldn't do
anything with it unless I had matching data. Data vendors change and purge
their lists when there are name changes, takeovers, bankruptcies, etc. An
S&P 500 list from 20 years ago may not have data on 20% (? I'm guessing -
could be more) of the component securities using today's lists. So until a
vendor starts to offer data that hasn't been cleaned up in that way (you
still need stock splits etc) there's not much you can do with the index
info.
Richard Dale at Premium Data was starting to look at this at one point, but
I don't know if he got anywhere.
An alternative for some of the indices is to try to reproduce the index
criteria with a filter (e.g. market cap or trading volume) but its a poor
second best.
If you find a solution, let us all know.
Andrew
-----Original Message-----
From: equismetastock@xxxxxxxxxxxxxxx [mailto:equismetastock@xxxxxxxxxxxxxxx]
On Behalf Of napier_bone
Sent: Thursday, April 14, 2005 11:02 PM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: Re: [EquisMetaStock Group] A-D data format.
Thanks Andrew,
Here is an example of what I am looking for.
http://www.nasdaq.com/indexshares/historical_data.stm
This goes back to 1995.
But what about all the component changes between 1983 and 1994?
Are they published somewhere?
--- In equismetastock@xxxxxxxxxxxxxxx, "Andrew Tomlinson"
<andrew_tomlinson@xxxx> wrote:
>
> S&P will sell you old S&P 500 lists back to 1989 or hard copy back
to 83 -
> for $125 per constituent list! Let's see, four a year, 20 years -
what's
> $10,000 between friends? But I guess you could get a starting place
by
> buying the first one they have...
>
> -----Original Message-----
> From: napier_bone [mailto:geosen@x...]
> Sent: Thursday, April 14, 2005 3:25 PM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: [EquisMetaStock Group] A-D data format.
>
>
>
>
> Hi Larry,
>
> You have an ambitious project in the works and are probably the
only
> one here who can answer my question.
>
> Do you know where component changes in various indices are
published
> such as WSJ and Barron's?
>
> The information on the internet is sketchy and rarely goes all the
> way back to the inception of the index.
>
> I have all the component changes for the Nasdaq 100 back to 1995.
> prior to that I have found nothing. Some S&P indices back to 2001.
Indices
> maintained by PHLX are well documented, but AMEX has
> information on its indices only back to the fall of 1999.
>
> TIA
>
> Now I have an idea on A-D data format.
>
> Instead of maintaining 2 separate files for A and D data, I have
> combined both into one file. The order of the data is the familiar
> Open, High, Low, Close order with O=D, H=Max(A,D), L=MIN(A,D) and
C=A.
>
> This can be displayed in Metastock as if it were security data.
>
> Then C-O = A-D and C/O = A/D.
>
> George
>
>
>
>
>
>
>
>
> Yahoo! Groups Links
Yahoo! Groups Links
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