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You don't mention that you actually did run the purify tool and look at the
report. If you didn't why the hell not? PLEASE do what TJ asks you to do!!
d
_____
From: k_binder_ [mailto:k_binder_@xxxxxxxxx]
Sent: Wednesday, October 06, 2004 11:28 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: setforeign bug
Tomasz,
It is NOT misaligned data. Here is what I did to test this hypothesis:
I created a new database, imported 2 symbols into it with data
starting from 12/24/2003 to 1/29/2004. This range is easily
verifiable with the naked eye. There are NO missing days, NO
misalignments. I can see that from the charts. I also checked the
data in notepad before I imported into AB.
Next, I ran the exploration after selecting qqq. qROC was calculated
starting from the 4th bar, which is correct because the formula is
qROC = ROC(close, 3);
Next, I selected aapl and ran this same exploration. The qROC was
calculated starting from the 5th bar, which is WRONG since there is
data from 12/24/2004 for aapl. This is exactly what I see when I load
all the data, the formula is shifted by 1 bar.
here are the files of data and results that I used:
qqq:
12/23/2003,1315,35.60,36.02,35.53,35.84,67060700,0
12/24/2003,1315,35.84,36.02,35.80,35.90,44840300,0
12/26/2003,1315,35.96,36.09,35.82,35.85,25499000,0
12/29/2003,1315,36.03,36.53,36.02,36.44,63456000,0
12/30/2003,1315,36.53,36.58,36.30,36.56,48282100,0
12/31/2003,1315,36.60,36.64,36.25,36.46,60531500,0
01/02/2004,1315,36.65,36.79,36.22,36.36,55263700,0
01/05/2004,1315,36.60,37.16,36.56,37.09,69757000,0
01/06/2004,1315,37.08,37.42,36.95,37.34,60075300,0
01/07/2004,1315,37.28,37.68,37.07,37.68,71895800,0
01/08/2004,1315,37.87,38.00,37.60,37.98,78268200,0
01/09/2004,1315,37.71,38.35,37.59,37.73,94326896,0
01/12/2004,1315,37.85,38.35,37.68,38.33,77719504,0
01/13/2004,1315,38.27,38.36,37.60,37.95,93060896,0
01/14/2004,1315,38.08,38.25,37.84,38.08,69074400,0
01/15/2004,1315,37.93,38.46,37.63,38.18,104597104,0
01/16/2004,1315,38.38,38.63,38.17,38.57,77371600,0
01/20/2004,1315,38.73,38.85,38.31,38.54,82083600,0
01/21/2004,1315,38.39,38.66,38.00,38.38,112316800,0
01/22/2004,1315,38.55,38.69,38.06,38.15,90966400,0
01/23/2004,1315,38.21,38.46,37.78,38.01,88805504,0
01/26/2004,1315,37.98,38.65,37.84,38.59,84703400,0
01/27/2004,1315,38.51,38.63,37.69,37.74,97365800,0
01/28/2004,1315,37.94,38.06,37.00,37.10,128169296,0
01/29/2004,1315,37.24,37.31,36.66,37.24,144040496,0
aapl:
12/23/2003,1300,19.92,19.95,19.60,19.81,5509189,0
12/24/2003,1300,19.72,20.59,19.65,20.41,3169128,0
12/26/2003,1300,20.35,20.91,20.34,20.78,1851614,0
12/29/2003,1300,20.91,21.16,20.86,21.15,4168852,0
12/30/2003,1300,21.18,21.50,21.15,21.28,3658351,0
12/31/2003,1300,21.35,21.53,21.18,21.37,3115460,0
01/02/2004,1300,21.55,21.75,21.18,21.28,2583378,0
01/05/2004,1300,21.42,22.39,21.42,22.17,7060234,0
01/06/2004,1300,22.25,22.42,21.71,22.09,9101133,0
01/07/2004,1300,22.10,22.83,21.93,22.59,10481444,0
01/08/2004,1300,22.84,23.73,22.65,23.36,8220176,0
01/09/2004,1300,23.23,24.13,22.79,23.00,7641639,0
01/12/2004,1300,23.31,24.00,23.10,23.73,8711348,0
01/13/2004,1300,24.70,24.84,23.86,24.12,12126874,0
01/14/2004,1300,24.40,24.54,23.78,24.20,11153762,0
01/15/2004,1300,22.91,23.40,22.50,22.85,18185794,0
01/16/2004,1300,23.00,23.04,22.61,22.72,6658609,0
01/20/2004,1300,22.67,22.80,22.25,22.73,5642722,0
01/21/2004,1300,22.70,22.97,22.43,22.61,4054951,0
01/22/2004,1300,22.56,22.83,22.18,22.18,3660782,0
01/23/2004,1300,22.42,22.74,22.25,22.56,4057256,0
01/26/2004,1300,22.46,23.06,22.43,23.01,4845078,0
01/27/2004,1300,23.03,23.25,22.80,23.07,5486319,0
01/28/2004,1300,22.84,23.38,22.41,22.52,4917934,0
01/29/2004,1300,22.63,22.80,22.19,22.68,379
qqq:
And here are the results:
Ticker Date/Time QROC
qqqDailyTest 12/24/2003 13:15
qqqDailyTest 12/26/2003 13:15
qqqDailyTest 12/29/2003 13:15
qqqDailyTest 12/30/2003 13:15 1.84
qqqDailyTest 12/31/2003 13:15 1.7
qqqDailyTest 1/2/2004 13:15 -0.22
qqqDailyTest 1/5/2004 13:15 1.45
qqqDailyTest 1/6/2004 13:15 2.41
qqqDailyTest 1/7/2004 13:15 3.63
qqqDailyTest 1/8/2004 13:15 2.4
qqqDailyTest 1/9/2004 13:15 1.04
qqqDailyTest 1/12/2004 13:15 1.73
qqqDailyTest 1/13/2004 13:15 -0.08
qqqDailyTest 1/14/2004 13:15 0.93
qqqDailyTest 1/15/2004 13:15 -0.39
qqqDailyTest 1/16/2004 13:15 1.63
qqqDailyTest 1/20/2004 13:15 1.21
qqqDailyTest 1/21/2004 13:15 0.52
qqqDailyTest 1/22/2004 13:15 -1.09
qqqDailyTest 1/23/2004 13:15 -1.38
qqqDailyTest 1/26/2004 13:15 0.55
qqqDailyTest 1/27/2004 13:15 -1.07
qqqDailyTest 1/28/2004 13:15 -2.39
qqqDailyTest 1/29/2004 13:15 -3.5
aapl:
Ticker Date/Time QROC
aaplDailyTest 12/24/2003 13:00
aaplDailyTest 12/26/2003 13:00
aaplDailyTest 12/29/2003 13:00
aaplDailyTest 12/30/2003 13:00
aaplDailyTest 12/31/2003 13:00 1.84
aaplDailyTest 1/2/2004 13:00 1.7
aaplDailyTest 1/5/2004 13:00 -0.22
aaplDailyTest 1/6/2004 13:00 1.45
aaplDailyTest 1/7/2004 13:00 2.41
aaplDailyTest 1/8/2004 13:00 3.63
aaplDailyTest 1/9/2004 13:00 2.4
aaplDailyTest 1/12/2004 13:00 1.04
aaplDailyTest 1/13/2004 13:00 1.73
aaplDailyTest 1/14/2004 13:00 -0.08
aaplDailyTest 1/15/2004 13:00 0.93
aaplDailyTest 1/16/2004 13:00 -0.39
aaplDailyTest 1/20/2004 13:00 1.63
aaplDailyTest 1/21/2004 13:00 1.21
aaplDailyTest 1/22/2004 13:00 0.52
aaplDailyTest 1/23/2004 13:00 -1.09
aaplDailyTest 1/26/2004 13:00 -1.38
aaplDailyTest 1/27/2004 13:00 0.55
aaplDailyTest 1/28/2004 13:00 -1.07
aaplDailyTest 1/29/2004 13:00 -2.39
you can see that qROC for aapl is shifted by 1 bar.
here is the formula:
SetForeign("qqqDailyTest");
qROC = ROC(Close, 3);
RestorePriceArrays();
Filter = 1;
AddColumn(qROC, "QROC");
This is very important. Please take the time to test this yourself
and tell me where I am making a mistake.
thanks,
ken
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Hello,
>
> >
> > How can data be misaligned? no matter what the value of aapl, on
> > 1/2/2004, I expect qROC to be -.22 because it is calculated based
on
> > qqq data, not aapl.
>
> Again - there is NO bug and the behaviour is correct (i.e. as
documented)
>
> Please do what I write. I am not brushing away.
>
> So again:
> Please do read the documentation
> http://www.amibroker.com/f?foreign
>
> It says:
> "Foreign function synchronizes the data file
> you are referencing with the currently selected symbol.
>
> Synchronization makes sure that EACH bar of FOREIGN data
> matches exactly with each bar of currently selected symbol.
>
> So if DateNum() function returns 990503 for given bar
> then Close array represents the CLOSE of currently selected symbol
at May 3, 1999
> and Foreign("SYMBOL", "C") represents close of foreign symbol at
May 3, 1999 TOO.
>
> This is absolutely necessary because otherwise you won't be able
> to do ANY meaningful operations involving both selected symbol and
foreign symbol.
>
> This also needed for the display so when you mark the quote with
vertical
> line it will always match the date displayed regardless if you use
Foreign or not.
>
> Please note that if you have data holes in currently selected
symbol then in order to synchronize bars Foreign function will remove
> bars that exist in Foreign symbol but do not exist in currently
selected symbol."
>
>
> Now if you have misaligned QQQ and AAPL data in three last bars you
will GET
> DIFFERENT results of your qROC.
>
> So AGAIN PLEASE
> Go to Tools->Database Purify, enter QQQ as reference symbol and
> click "ANALYSE" and you will see.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "k_binder_" <k_binder_@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, October 06, 2004 4:13 PM
> Subject: [amibroker] Re: setforeign bug
>
>
> >
> >
> > Tomasz,
> > Let me explain the situation again, in case you are just brushing
> > this away as misaligned data again:
> > there are 2 data streams, qqq and aapl. (This happens with all
nasdaq
> > 100 stocks for me).
> >
> > This is the formula:
> > SetForeign("qqq");
> >> > > qROC = ROC(Close, 3);
> >> > > RestorePriceArrays();
> >> > >
> >> > > Filter = 1;
> >> > > AddColumn(qROC, "QROC");
> >
> > when I "explore" this on qqq, I get a value of qROC=-.22 on
1/2/2004
> > when I "explore" this on aapl, qROC on the bar after 1/2/2004 is -
.22.
> >
> > How can data be misaligned? no matter what the value of aapl, on
> > 1/2/2004, I expect qROC to be -.22 because it is calculated based
on
> > qqq data, not aapl.
> >
> > I would appreciate a quick reply to this problem.
> >
> > ken
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "k_binder_" <k_binder_@xxxx>
wrote:
> >>
> >> tomasz,
> >> This happens not only with aapl but also with other stocks. I
just
> >> gave you aapl as an example.
> >>
> >> I also use tradestation for intraday trading. I got the data from
> >> tradestation and this same formula works fine with TS. Ofcourse,
I
> >> cannot test this at a portfolio level with TS, that's why I want
to
> >> use AB.
> >>
> >> ken
> >>
> >>
> >> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
> > <amibroker@xxxx>
> >> wrote:
> >> > Hello,
> >> >
> >> > There is no bug, simply your data is misaligned.
> >> > Check again because AAPL is for sure not updated to the same
> >> > data as QQQ.
> >> >
> >> > Please read the documentation
> >> > http://www.amibroker.com/f?foreign
> >> >
> >> > (about synchronizing arrays)
> >> >
> >> > Best regards,
> >> > Tomasz Janeczko
> >> > amibroker.com
> >> > ----- Original Message -----
> >> > From: "k_binder_" <k_binder_@xxxx>
> >> > To: <amibroker@xxxxxxxxxxxxxxx>
> >> > Sent: Wednesday, October 06, 2004 9:17 AM
> >> > Subject: [amibroker] setforeign bug
> >> >
> >> >
> >> > >
> >> > >
> >> > > I have a database with 2 stocks, qqq and aapl in it. Both are
> >> daily
> >> > > data for 2004, upto 9/3/2004. My layout has both charts in
it.
> >> > > I run the following code:
> >> > >
> >> > > SetForeign("qqq");
> >> > > qROC = ROC(Close, 3);
> >> > > RestorePriceArrays();
> >> > >
> >> > > Filter = 1;
> >> > > AddColumn(qROC, "QROC");
> >> > >
> >> > > I find that when I "explore" aapl with this formula, "QROC"
is
> >> > > shifted back 1 bar. like ref(qROC, -1) instead of qROC. When
I
> >> select
> >> > > qqq, everything is properly aligned.
> >> > >
> >> > > Has anyone experienced this?
> >> > >
> >> > > Any help will be appreciated.
> >> > > thanks,
> >> > > ken
> >> > >
> >> > >
> >> > >
> >> > >
> >> > >
> >> > >
> >> > > Check AmiBroker web page at:
> >> > > http://www.amibroker.com/
> >> > >
> >> > > Check group FAQ at:
> >> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >> > > Yahoo! Groups Links
> >> > >
> >> > >
> >> > >
> >> > >
> >> > >
> >> > >
> >> > >
> >> > >
> >
> >
> >
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
> >
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Check group FAQ at:
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