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Thanks, Ed.
Learn something new every
day. I don't use QP2, but I'm sure that a lot of people will
appreciate learning about the extra functionality that they
offer.
<BLOCKQUOTE
>
-----Original
Message-----From: E Winters
[mailto:e.winters@xxxxxxxxxxxxxxxx]Sent: Saturday, June 21, 2003
7:12 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: 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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