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Hmmm. Gene and Chris must be talking apples and oranges or I'm just
confused.
Both of you using natural hour bars? Index or futures for data1? How far back
do the tests go?
Gene Pope wrote:
> 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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