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G'day,
Phsst...
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size=2>
I just
sent Al an email that answered your question. Rather than asking you to go
look at that email, I will repeat it here for you:
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size=2>
I get my data from CSI
Unfair Advantage. To my knowledge, it is the only data supplier that
provides both actual and backadjusted prices and volume. <SPAN
class=553132018-21062003>It also allows me to extract backadjusted prices with
eight digits after the decimal (999.12345678) accuracy. I
convert the CSI data to MetaStock format, placing the actual close in the open
interest column. It is possible to "squeeze" other data into the
open interest column such as earnings, dividends, etc., but I'm not at the
moment. Since open interest is an integer field, I multiply the
actual close by 100 before placing it in the field. If I was writing
some AFL to filter price and volume, I might say something
like:
BuyOK = OI > 100 and
Volume > 200000; // 100 =
$1
ShortOK = OI > 600 and
Volume > 300000; // 600 = $6
<FONT
face=Arial>P.S. I am not marketing (nor do I have any financial
interest in) CSI data. I've been using it since Jesus was a little fella'
and I think it's the best. All data has errors. I believe that
CSI has fewer than the rest. I submit a list of errors that I have
detected to CSI every week and they correct them within 24 hours.
Other vendors don't even reply.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Phsst
[mailto:phsst@xxxxxxxxx]Sent: Saturday, June 21, 2003 11:23
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Historical volume filteringChuck,Now I
understand.I totally underestimated the breadth and sophistication of
yourhistorical database. You obviously have significant time and
financialresources tied up in maintaining your database. > Now,
to answer your direct question. While I use actual prices
andvolumes for filtering, I use backadjusted prices for all
tradingcalculations. As you suggest, that's the only way to
compensate forsplits, dividends, cash payouts, etc. when calculating
indicatorsand/or profit and losses once you actually trade the
stock.<How do you accomplish the above? With two seperate db's...
one withactual price/vol to filter against and create a watchlist, and
then asplit-adjusted db that you use the watch list against,
ignoringprice/vol metrics since that has already been taken care of in the
1stscan?And frankly, I never gave much thought to the effect
thatsplit-adjusted data might have on price/volume filters in
backtestsystems.Thanks for the insight. Very
impressive.Phsst --- In amibroker@xxxxxxxxxxxxxxx, "Chuck
Rademacher"<chuck_rademacher@x> wrote:> Whew... at last
someone asked the question.> > Phsst asked me: if
you really use non-split adjusted data, how do you> account for stock
splits in your> backtest 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 thestock 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?> > I've actually commented on
this previously, but I always felt like the> explanation got lost in
the shuffle.> > 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:> > DELL was actually
trading at $9.12 on 19880817. I'm sure you areshowing
a> price of $0.09 or somthing similar in your data.> >
YHOO was actually trading at $33.00 on 19960412. I'm sure you
areshowing> a price of $2.75 or something similar in your
data.> > Volumes, as shown in most data vendor's databases are
off by the same> magnitude.> > How can anyone possibly
use backadjusted prices and/or volumes for> filtering?> >
Now, to answer your direct question. While I use actual prices
andvolumes> for filtering, I use backadjusted prices for all
tradingcalculations. As> you suggest, that's the only way to
compensate for splits,dividends, cash> payouts, etc. when
calculating indicators and/or profit and lossesonce you> actually
trade the stock.> > 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
from0.10000000> to 0.10600000 to 0.10900000, etc.
These are huge moves thatdisappear in> the data of most data
vendors.> > Are you aware, for instance, that VectorVest rounded
backadjustedprices to> the nearest ten cents in some of its early
data? It's bad enoughthat the> data is stored with only
two decimal digits, but to the nearest tencents?> Useless.>
> 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 sopedantic when> it comes to the accuracy of data.>
> > > > > -----Original
Message-----> From: Phsst
[mailto:phsst@xxxx]> Sent: Saturday, June 21, 2003 12:24
AM> To: amibroker@xxxxxxxxxxxxxxx>
Subject: [amibroker] Re: Historical volume filtering> >
> Chuck,> > I've been keeping
'grandkids on steroids' today, so I am a little>
punch-drunk. I've read all the posts on this thread and have a
couple> of comments.> > Your
database goes back to '85. As I relate to my own situation,
my> average Positionsize in '85 was only a fraction of my
Positionsize> today. I've been backtesting since the late
80's, and have used VOLUME> for two (2) purposes... (1) to
gauge price action, and (2) to gauge> liquidity as it
related to MY POSITION SIZE. On the second count, as> my
personal positionsize increased, so did the average volume in
the> markets.> > As mentioned in
subsequent posts on this subject, I've filtered both> my
backtests and my actual trades based upon a volume multiple of
my> Positionsize as opposed to x# of shares traded per day,
irrespective> of price.> > You
and I have both stated that we backtest based upon 'fixed
position> size'. And yet other people are not able to
relate to that. They seem> to think that everyone
'compounds' their trades on a daily basis> depending upon
their account size growth or demise as a direct result> of
trading results. The truth (for me) is a compromise... As
my> account size grows(whether thru trade profits or
savings) I gradually> increase my Positionsize, but it is
not directly proportional to> trading success.>
> So in my mind, increases in actual market trading volume
are just> about proportional to increases in my own account
size, and are> therefore a 'non-issue'.>
> Another issue for me is your multiple posts relating to
prefering> non-split adjusted data.>
> Every time you've mentioned your preference for
'non-split adjusted> data', I've chosen to ignore the
subject rather than to open it up as> an issue.>
> But it is time to ask the crucial question... if you
really use> non-split adjusted data, how do you account for
stock splits in your> backtest results where a 2 for 1, or
3 dor 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 backtestresults?> > Just
curious.> > Phsst> > > >
> > groups.com, "Chuck Rademacher"
<chuck_rademacher@x> wrote:> > I was about to send
this email to "b", but I would welcomecomments 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 message>
to this> > group saying that I always use one set of
parameters across all> stocks and> >
across all timeframes. One of the downsides of this
approach> (perhaps) is> > that volume
has changed over time. I suppose that one couldargue
that> > volatility changes over time as
well. Volatility, however, goes>
through> > cycles and volume just keeps
growing.> >> > The question that I
have involves volume filtering. To me, it is>
essential> > that volume filters be applied to actual
volume and not backadjusted> volume.>
> My concern, however, is that if I apply a filter requiring anaverage
of> > 300,000 shares, I don't get very many hits back in
the late 80's and> early> >
90's.> >> > I have a solution in
mind and would appreciate some input or> dialogue on
the> > subject. It seems to me that
volume filtering should be basedon some> >
percentage of the total volume of all NYSE stocks
(forinstance). I> > haven't done my
homework yet, but let's say that the average volume> today
is> > ten times more than it was in 1985. If
I decide to filter today at> 300,000>
> shares, wouldn't it make sense to filter based on 30,000 shares
in> 1985. I> > can
probably answer that question myself by saying that I
don't> think 30,000> > would be an
adequate filter in 1985. But I could scale it
from> 100,000 to> > 300,000
progressively between 1985 and 2003 based on mathematical>
equation.> >> > You may ask why
backtesting to 1985 (or any other date) isimportant.>
> There are dozens of reasons, but the most important reason to meis
that> > prospective investors in any funds that I manage
want to see how a> proposed> > system
would have performed over a statistically meaningful
period> of time.> > You can argue
about the relevance of such information, but THEY> EXPECT
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
this> area.> >
> Yahoo! Groups
Sponsor> > > > Send BUG REPORTS to
bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
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