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Al,
Under QP2 Help -> Index search on the keyword 'raw'
The Raw functions return the unsplit adjusted values.
QP_RawOpen(day As Integer, symbol As String)
Returns the Opend for the day that you choose.
QP_RawHigh(DayNumberNumber As Integer, symbol As String)
Returns the High for the day that you choose.
QP_RawLow(DayNumber As Integer, symbol As String)
Returns the Low for the day that you choose.
QP_RawClose(DayNumber As Integer, symbol As String)
Returns the Close for the day that you choose.
QP_RawVolume(DayNumber As Integer, symbol As String)
Returns the Volume for the day that you choose.
QP_RawOI(DayNumber As Integer, symbol As String)
Returnds the Open Interest for the day that you choose.
QP_RawDate(DayNumber As Integer, symbol As String)
Returns the Date for the day that was passed.
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> 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.
>
> ----- Original Message -----
> From: E Winters
> To: 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
> ----- Original Message -----
> From: Chuck Rademacher
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Saturday, June 21, 2003 1:58 PM
> Subject: RE: [amibroker] Re: Historical volume filtering
>
>
> Mornin' Al,
>
> My first email for the day and I haven't had my cuppa yet!
>
> 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:
>
> BuyOK = OI > 100 and Volume > 200000; // 100 = $1
> ShortOK = OI > 600 and Volume > 300000; // 600 = $6
>
> 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.
>
> 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:
>
> 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);
>
> 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.
>
> I hope that answers your questions... now for that cuppa
>
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