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hhmm... I don't know
where the confusion is coming from, but I'll try again.
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Every record in my
database constains O,H,L,C,V and OI.
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size=2>
O,H,L,C are
backadjusted prices, similar to what you would see in VectorVest, TC2000 and
just about every other data source.
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My V field contains
actual volume. I have no need for backadjusted volume.
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My OI field contains
the actual close on the day.
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So... something like
RSI in AB will use backadjusted prices, all smoothed out, compensating for
splits, dividends, etc.
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My filter will use
the OI field. So a buy statement could
say:
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Buy = OI > 100
and Volume > 300000 and RSI() < 20; // OI contains
actual close, Volume contains actual volume and RSI is going to use the
value in the close column.
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If I want to use
average actual turnover in my filter, I could say:
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Buy = OI > 100
and MA(Volume * OI / 100) > 400000 and RSI() < 20;
// OI = 100 = $1.00
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The "picking" and
the "backtesting" are all done in one line of code.
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How hard can it
be?
<BLOCKQUOTE
>
-----Original
Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]Sent: Sunday, June 22, 2003 8:19
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Re: QP2 - actual and backadjusted prices
But Chuck, I thought you said you only use pre-adjusted shares for
filtering, not for backtesting. For backtesting, you use split shares as
downloaded to get all your backtest performance statistics. I get the
impression from this post that you are also testing with pre-adjusted shares.
Once you pick the stocks that were between $1 and $10 10 years ago, do you
backtest them with that price or do you backtest them with post-split prices?
Am I misquoting you?
AV
<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 11:25
PM
Subject: RE: [amibroker] Re: QP2 -
actual and backadjusted prices
<FONT face=Arial color=#0000ff
size=2>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.
<FONT face=Arial color=#0000ff
size=2>
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.
<FONT face=Arial color=#0000ff
size=2>
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?
<FONT face=Arial color=#0000ff
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<FONT face=Arial color=#0000ff
size=2>
<BLOCKQUOTE
>
<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
Sponsor>
ADVERTISEMENT> > > > > Send
BUG REPORTS to bugs@xxxx> Send SUGGESTIONS to
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