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Re: [amibroker] Re: Historical volume filtering



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Thanks, Ed. I am a QP2 user, too, and I didn't know they did that. Can you 
tell me more about the Excel functions that can retrieve unadjusted prices and 
volumes, or should I contact QP2? 
 
Al V. 
 
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  E 
  Winters 
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Saturday, June 21, 2003 7:11 
  PM
  Subject: Re: [amibroker] Re: Historical 
  volume filtering
  
  Chuck,
  QP2 maintains split adjusted and unadjusted 
  prices and volumes as well. Amibroker has a plugin for QP2 but I 
  don't think it currently has the ability to retrieve the Raw data, but there 
  are Excel functions which can retrieve the unadjusted prices and 
  volumes.
  Regards,
  Ed
  <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 1:58 
    PM
    Subject: RE: [amibroker] Re: Historical 
    volume filtering
    
    Mornin' 
    Al,
    <FONT 
    face=Arial> 
    My first email for the 
    day and I haven't had my cuppa yet!
    <FONT 
    face=Arial> 
    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.    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:
    <FONT 
    face=Arial> 
    BuyOK = OI > 100 and 
    Volume > 200000;       // 100 = 
    $1
    ShortOK = OI > 600 
    and Volume > 300000;    //  600 = 
    $6
    <FONT 
    face=Arial> 
    I'm afraid that I don't 
    understand your question about segmenting stocks.   I simply have 
    actual and backadjusted prices all in the O,H,L,C,V and OI fields in the 
    MetaStock data.
    <FONT 
    face=Arial> 
    As to your first 
    question, I came up with something that works for scaling the turnover 
    filter.   It is the most basic solution and the mathematicians 
    would be quite critical of it.... but it works:
    <FONT 
    face=Arial> 
    LB = 
    BarIndex()-245;
    SPXVol = 
    Foreign(".SPX","Volume",fixup=1);
    CurrentSPXVolAvg = 
    MA(SPXVol,245);
    BaseSPXVolAvg = 
    Ref(MA(SPXVol,245),-LB);
    VolRatio = 
    CurrentSPXVolAvg / BaseSPXVolAvg;
    MinTurnover = 100000 * 
    (VolRatio / 3);
    <FONT 
    face=Arial> 
    The above basically 
    calculates the 245-day moving average of S&P volume at any point in the 
    data and compares it to the 245-day moving average in the first year of 
    data.   That ratio then gets divided by three (arbitrary) and 
    multiplied by 100000.   The effect is, in 1985 I would be 
    filtering with a minimum turnover of $100,000 and currently about 
    $500,000.
    <FONT 
    face=Arial> 
    I hope that answers 
    your questions... now for that cuppaSend 
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