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Thanks, Phsst. I'll check it out.
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Phsst
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, June 21, 2003 9:58
PM
Subject: [amibroker] Re: Historical
volume filtering
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 retrieveunadjusted 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 aswell. Amibroker has a plugin for QP2
but I don't think it currentlyhas the ability to retrieve the Raw data,
but there are Excelfunctions 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, itis the only
data supplier that provides both actual and backadjustedprices and
volume. I convert the CSI data to MetaStock
format,placing the actual close in the open interest column.
It is possibleto "squeeze" other data into the open interest column such
asearnings, dividends, etc., but I'm not at the moment. Since
openinterest is an integer field, I multiply the actual close by
100before placing it in the field. If I was writing some AFL
to filterprice 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 aboutsegmenting stocks. I simply have actual and
backadjusted prices allin the O,H,L,C,V and OI fields in the MetaStock
data.> > As to your first question, I
came up with something that worksfor scaling the turnover
filter. It is the most basic solution andthe 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&Pvolume at any point in the data and compares it
to the 245-day movingaverage in the first year of data. That
ratio then gets divided bythree (arbitrary) and multiplied by
100000. The effect is, in 1985 Iwould be filtering with a
minimum turnover of $100,000 and currentlyabout $500,000.>
> I hope that answers your questions... now for
that cuppa> >
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