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Hi, Chuck:
I sure hope you got an answer to your volume adjusting question. I was
unable to help you on this. If you did, I'd be most interested in the findings
and resultant code. Meanwhile, I have a question to your post below. Where do
you get data that have NOT been split-adjusted? Don't all data vendors
split-adjust their prices and volumes? And, how do you use it for a stock that
has undergone numerous splits over the years? Do you segment your data set for
each split period and filter on that data segment? I didn't think you were an
individual stock trader but rather a basket trader. So, if DELL, for example,
which was 9 cents in 1988, was part of your basket of stocks, how do you filter
your basket, which includes DELL in it and many other stocks that split their
shares all at different times? Thanks.
Al Venosa
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, June 21, 2003 12:40
AM
Subject: RE: [amibroker] Re: Historical
volume filtering
<FONT face=Arial color=#0000ff
size=2>Whew... at last someone asked the question.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Phsst asked me: <FONT face="Courier New" color=#000000
size=3>if you really use non-split adjusted data, how do you account for stock
splits in yourbacktest results where a 2 for 1, or 3 for 2, or 4 for 5
stock split has occurred. For example if your system generates a trade when
the stock price is at 50, and a 2 for 1 split occurs dropping the price to 25
(reducing your position by one-half), how in the heck do you account for the
price reduction which did not REALLY account for a loss in your 'real life
account' but which devasted your backtest results?
<FONT face=Arial color=#0000ff
size=2><FONT face="Courier New" color=#000000
size=3>
<FONT face=Arial color=#0000ff
size=2>
I've
actually commented on this previously, but I always felt like the explanation
got lost in the shuffle.
<FONT face=Arial color=#0000ff
size=2>
For
filtering purposes, I use ACTUAL prices and ACTUAL volumes. To me,
anything else is a waste of time. I've given hundreds examples on
this board, but I will give some here for completeness:
<FONT face=Arial color=#0000ff
size=2>
DELL
was actually trading at $9.12 on 19880817. I'm sure you are
showing a price of $0.09 or somthing similar in your data.
<FONT face=Arial color=#0000ff
size=2>
YHOO
was actually trading at $33.00 on 19960412. I'm sure you are
showing a price of $2.75 or something similar in your
data.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Volumes, as shown in most data vendor's databases are off by the same
magnitude.
<FONT face=Arial color=#0000ff
size=2>
How
can anyone possibly use backadjusted prices and/or volumes for
filtering?
<FONT face=Arial color=#0000ff
size=2>
Now,
to answer your direct question. While I use actual prices and
volumes for filtering, I use backadjusted prices for all trading
calculations. As you suggest, that's the only way to compensate for
splits, dividends, cash payouts, etc. when calculating indicators and/or
profit and losses once you actually trade the stock.
<FONT face=Arial color=#0000ff
size=2>
Here
again, the accuracy of the data is paramount. Many stocks are
backadjusted to the point where most data suppliers might show a stock trading
for $0.10 for almost a month. Two decimal digits simply isn't
accurate enough. My database carries eight decimal digits for the
backadjusted data. That way, I can see that a stock went from
0.10000000 to 0.10600000 to 0.10900000, etc. These are huge
moves that disappear in the data of most data vendors.
<FONT face=Arial color=#0000ff
size=2>
Are
you aware, for instance, that VectorVest rounded backadjusted prices to the
nearest ten cents in some of its early data? It's bad enough that
the data is stored with only two decimal digits, but to the nearest ten
cents? Useless.
<FONT face=Arial color=#0000ff
size=2>
I
hope that answers your question and I'm relieved that someone actually asked
it. I'm afraid that I can not apologise for being so pedantic when
it comes to the accuracy of data.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Phsst
[mailto:phsst@xxxxxxxxx]Sent: Saturday, June 21, 2003 12:24
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Re: Historical volume filteringChuck,I've
been keeping 'grandkids on steroids' today, so I am a littlepunch-drunk.
I've read all the posts on this thread and have a coupleof
comments.Your database goes back to '85. As I relate to my own
situation, myaverage Positionsize in '85 was only a fraction of my
Positionsizetoday. I've been backtesting since the late 80's, and have
used VOLUMEfor two (2) purposes... (1) to gauge price action, and (2) to
gaugeliquidity as it related to MY POSITION SIZE. On the second count,
asmy personal positionsize increased, so did the average volume in
themarkets. As mentioned in subsequent posts on this subject,
I've filtered bothmy backtests and my actual trades based upon a volume
multiple of myPositionsize as opposed to x# of shares traded per day,
irrespectiveof price.You and I have both stated that we backtest
based upon 'fixed positionsize'. And yet other people are not able to
relate to that. They seemto think that everyone 'compounds' their trades
on a daily basisdepending upon their account size growth or demise as a
direct resultof trading results. The truth (for me) is a
compromise... As myaccount size grows(whether thru trade profits or
savings) I graduallyincrease my Positionsize, but it is not directly
proportional totrading success.So in my mind, increases in
actual market trading volume are justabout proportional to increases in
my own account size, and aretherefore a 'non-issue'.Another
issue for me is your multiple posts relating to preferingnon-split
adjusted data.Every time you've mentioned your preference for
'non-split adjusteddata', I've chosen to ignore the subject rather than
to open it up asan issue.But it is time to ask the crucial
question... if you really usenon-split adjusted data, how do you account
for stock splits in yourbacktest results where a 2 for 1, or 3 dor 2, or
4 for 5 stock splithas occurred. For example if your system generates a
trade when thestock price is at 50, and a 2 for 1 split occurs dropping
the price to25 (reducing your position by one-half), how in the heck do
youaccount for the price reduction which did not REALLY account for
aloss in your 'real life account' but which devasted your backtest
results?Just
curious.Phsstgroups.com, "Chuck Rademacher"
<chuck_rademacher@x> wrote:> I was about to send this email to
"b", but I would welcome comments from> anyone else interested in
such historical work.> > At the risk of having some of you ask
why it matters, my backtesting> generally goes back to
1985. Just yesterday, I posted a messageto
this> group saying that I always use one set of parameters across
allstocks and> across all timeframes. One of the
downsides of this approach(perhaps) is> that volume has changed
over time. I suppose that one could argue that>
volatility changes over time as well. Volatility, however,
goesthrough> cycles and volume just keeps growing.>
> The question that I have involves volume filtering. To
me, it isessential> that volume filters be applied to actual
volume and not backadjustedvolume.> My concern, however, is that
if I apply a filter requiring an average of> 300,000 shares, I don't
get very many hits back in the late 80's andearly> 90's.>
> I have a solution in mind and would appreciate some input
ordialogue on the> subject. It seems to me that
volume filtering should be based on some> percentage of the total
volume of all NYSE stocks (for instance). I> haven't done
my homework yet, but let's say that the average volumetoday is>
ten times more than it was in 1985. If I decide to filter today
at300,000> shares, wouldn't it make sense to filter based on
30,000 shares in1985. I> can probably answer that
question myself by saying that I don'tthink 30,000> would be an
adequate filter in 1985. But I could scale it from100,000
to> 300,000 progressively between 1985 and 2003 based on
mathematicalequation.> > You may ask why backtesting to
1985 (or any other date) is important.> There are dozens of reasons,
but the most important reason to me is that> prospective investors in
any funds that I manage want to see how aproposed> system would
have performed over a statistically meaningful periodof time.>
You can argue about the relevance of such information, but THEYEXPECT
TO> SEE IT. For the record, I also think that it is very
important.> > I welcome comments from anyone with an interest
or knowledge in thisarea.Send BUG REPORTS to
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