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Kiwi... ;~)
Gene
----- Original Message -----
From: "david b. stanley" <davestan@xxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Friday, March 22, 2002 7:50 PM
Subject: Re: Advance-Decline data
> 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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