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Chuck,
Bear with me while I think out loud...
I have more than one trading system (long and short) which produce
very good backtest results (along with verified real trading results)
using split-adjusted data.
If I revert to raw (non-split adjusted) data, I'll probably see an
even better return since my systems are filtered on price and volume,
and I'll probably pick up even more 'tech bubble' pre-split trades.
And as I develope even more trading systems which now use raw data, I
should expect to find it easier to ferret out profitable trading
systems because of the improved probability of 'hitting' bubble
pre-split shooting stars.
But the reality is that by using split adjusted data, the backtest
results should reveal a 'worst case' situation since split-adjusted
data will eliminate many of the 'shooting stars' that might be
regarded as once in a decade (or even once in a century) situations.
It is late here... where is my thinking screwed up?
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> 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.
> -----Original Message-----
> From: E Winters [mailto:e.winters@x...]
> Sent: Saturday, June 21, 2003 7:12 PM
> To: amibroker@xxxxxxxxxxxxxxx
> 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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