|
PureBytes Links
Trading Reference Links
|
Hi Richard,
With respect to S&P data, much is available at the S&P website. In
fact their data begins with Dec 29, 2000 for S&P 500, Midcap 400 and
Smallcap 600. Other indices have later start dates. You can dump all
constituent closing price for each trading day, with a peculiar
exception. Feb 19 does not exist.
I have asssembled the S&P data, but even if I had the constituent
changes prior to 2001, I wouldn't tackle it.
I am more interested in sector indexes. They behave like laser light
(single frequency and coherent phase), whereas the broad markets
behave more like ordinary light (multiple frequencies and incoherent
phase).
A good deal of work has been done to show that the broad market A-D
lines are not affected by the popular conjectures which were
propagated in the last 3 or 4 years. Nvertheless, the NYSE A-D line
spent a long time declining while the market was rising. So there was
no useful signal to trade from.
George
--- In equismetastock@xxxxxxxxxxxxxxx, "Richard Dale" <richard@xxxx>
wrote:
> Hi Andrew,
>
> It's still on my medium term TODO list... I have S&P constituent
data back
> to around 2001 but it needs careful tracking/mapping to delisted and
> code-changed securities which is likely to be a manual slog at best.
>
> I'm investing additional sources of corporate action feeds that
might allow
> me to backtrack code codes but it's all rather expensive....
>
> I guess the real point here is: Do the constituent stocks exhibit
different
> behaviour (ie better trades/signals) than non-constituent stocks?
If the
> answer is no (or unknown), then a liquidity filter will do the job
just as
> well.
>
> Best regards,
> Richard Dale.
> Norgate Investor Services
> - Premium quality Stock, Futures and Foreign Exchange Data for
> markets in Australia, Asia, Canada, Europe, UK & USA -
> www.premiumdata.net <http://www.premiumdata.net/>
>
>
>
> _____
>
> From: equismetastock@xxxxxxxxxxxxxxx
[mailto:equismetastock@xxxxxxxxxxxxxxx]
> On Behalf Of Andrew Tomlinson
> Sent: Friday, 15 April 2005 21:55
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: RE: [EquisMetaStock Group] A-D data format.
>
>
>
> 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.
------------------------ Yahoo! Groups Sponsor --------------------~-->
What would our lives be like without music, dance, and theater?
Donate or volunteer in the arts today at Network for Good!
http://us.click.yahoo.com/Tcy2bD/SOnJAA/cosFAA/BefplB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|