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Your
theory is excellent, except for the scenario of reverse splits.
There are as many reverse splits going on right now as there has been normal
splits in the past. A reverse split happens when a company decides that
the price of their shares is too low. Perhaps they are going to be kicked
out of the NASDAQ or S&P, whatever. So, they reverse split the price
of their shares. I'm looking at one at the moment where the actual
price is only 10% of the backadjusted price. That's somewhat
typical. The price goes below one dollar (say 0.80), so they reverse split
the stock to make it $8.00. That makes the backadjusted price
of their shares $850 in 1997 instead of $85.
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I
wouldn't worry whether using actual (correct?) prices and volumes for filtering
is going to give you better or worse results. It will give you more
accurate results.
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If you
only want to trade shares between $1 and $10 today, I assume that ten years ago
you would have only wanted to trade shares between $1 and $10. Why
not let your systems look at the same shares in your backtest that you would
have considered on the day?
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<FONT face="Times New Roman"
size=2>-----Original Message-----From: Phsst
[mailto:phsst@xxxxxxxxx]Sent: Saturday, June 21, 2003 11:15
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
QP2 - actual and backadjusted
pricesChuck,Bear with me while I think out
loud...I have more than one trading system (long and short) which
producevery 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 aneven 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, Ishould expect to find it easier to ferret out
profitable tradingsystems because of the improved probability of 'hitting'
bubblepre-split shooting stars. But the reality is that by using
split adjusted data, the backtestresults should reveal a 'worst case'
situation since split-adjusteddata will eliminate many of the 'shooting
stars' that might beregarded 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 thata lot of> people will appreciate learning about the extra
functionality that they> offer.> -----Original
Message-----> From: E Winters
[mailto:e.winters@xxxx]> 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 aswell.> 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 functionswhich 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 backadjusted
prices and> volume. I convert the CSI data to
MetaStock format, placing theactual> close in the open interest
column. It is possible to "squeeze"other data> into the
open interest column such as earnings, dividends, etc., butI'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 waswriting 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 theO,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&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 by three(arbitrary)>
and multiplied by 100000. The effect is, in 1985 I would
befiltering with> a minimum turnover of $100,000 and currently
about $500,000.> > I hope that answers
your questions... now for that cuppa>
> Yahoo! Groups
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