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Ahhh... back from some warm weather... time to crack the knuckles...
At any rate... I tested these variations a while back, both raw + and -
values, and ROC models using UpVol and DnVol... they tested consistently
worse... as if their info was "lagged" somehow. Note that I did not mess
with the RL, which might affect it.
Your milage may vary.
Best regards,
Gene Pope
----- Original Message -----
From: "Chris Cheatham" <nchrisc@xxxxxxxxxx>
To: "Jim Johnson" <jejohn@xxxxxxxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Thursday, March 21, 2002 5:44 PM
Subject: Re: Advance-Decline data
> Jim,
>
> I didn't read the article, but I have found that intraday uvol-dvol is
> infinitely more valuable than adv-decl. This is true on NYSE, but esp.
true
> on Nasdaq, where few stocks account for much of the volume and price
> movement.
>
> Chris
>
>
> ----- Original Message -----
> From: "Jim Johnson" <jejohn@xxxxxxxxxxxxxxxx>
> To: <omega-list@xxxxxxxxxx>
> Sent: Thursday, March 21, 2002 7:27 AM
> Subject: Advance-Decline data
>
>
> > Hello omega-list,
> >
> > I read McMillan's article in TASC last night about the junk that's
> > included in the Advancing and Delcining issues data stream. It
> > seems a fairly compelling case (many issues are closed end bond
> > funds that may change price by only 1 cent based on interest rate
> > changes). In addition, the 1 cent trade increment has cheapened the
> > definition of an advance or a decline. He does suggest that because
> > these "bastard" issues (my term) have low volume, that advancing/
> > declining volume may be a better alternative.
> >
> > As they say, this issue seems non-trivial.
> >
> > I appears that Neoticker's NeoBreadth product may attempt to create
> > custom A-D indices. Is that what it does, has anyone tried it?
> > other thoughts on this data cancer problem amongst us?
> >
> > --
> > Best regards,
> > Jim Johnson mailto:jejohn@xxxxxxxxxxxxxxxx
> >
>
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