Ara,
One more point I
forgot – to implement this, we need to use the PlotOHLC() function, not the
Plot() function.
Regards,
Dan.
From: Dan
Clark [mailto:dan_public@xxxxxxxxxxx]
Sent: Sunday, December 11, 2005 10:10
AM
To: 'amibroker@xxxxxxxxxxxxxxx'
Subject: RE: [amibroker] Rel Strength -
Market Cap - Dan Clark
Ara,
One additional
point... I found an “issue” with my ATC code. (Whether is a bug or
not is open to question.)
The issue was that
the count of each stock was being set to 1. The code for Count
was:
iCount =
1 ;
This is a single
value, not an array. So the count of stock symbols in an ATC
symbol would always be the latest count, not the count at a point in time
(which I think is more valid). For example…
Based on my filtering
of the data (mostly just filtering out the very low priced and very low volume
stocks), the entire energy sector currently has 133 stocks. With
the original coding, it was ALWAYS 133 stocks.
I modified the code
to:
iCount =
IIf(Nz(C) > 0, 1, 0);
This is an array that
changes over time. In Dec, ’05, there are 133 stocks. From
August, ’05 through the middle of November, ’05, there are 132
stocks.
I think this approach
is more valid.
Note, however, that
this will NOT modify my current results because the ATC data is a simple
summation. Shortly, I’ll modify this so that the ATC data will be summed and
then divided by the number of stocks.
In many cases, this
will provide better results. Especially with indexes containing a low
number of stocks, the impact could be very significant.
Look at the two
attached GIFs. They are charts of my Mid Cap Energy index.
The red line overlay is the number of symbols in the index at a point in
time. The index contains two stocks prior to Dec 04, changes to
three stocks from Dec, 04 to February 05, and then changes to four stocks from
Feb 05 to current.
With the first chart
(NOTDividedByStockCount), note the large gaps precisely at the point where the
number of stocks increases! Now look at the second chart. I
temporarily modified the chart to divide the OHLC values by
iCount. MASSIVE difference! This looks much more
reasonable. And, it explains some of the issues I’ve seen with my
indexes. This may be a “silver bullet” to standardize the
data!
In summary, I still
believe that my ROC percentage methods provide valid data.
However, I now believe that my basic
indices are flawed! As of about 20 minutes ago, I realized that I have
to immediately change my indices so that they need to be normalized by number
of stocks in the index.
Many thanks for this
discussion!!! If not for you challenging my methodologies, I might
not have noticed this problem.
Regards,
Dan.
From:
amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Dan Clark
Sent: Sunday, December 11, 2005 8:55
AM
To:
amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Rel Strength -
Market Cap - Dan Clark
Ara,
I’m not sure why the
difference, either.
Regarding results,
remember that I’m doing a simple ROC of the Sector/Industry
indexes. So, the data is already normalized. I.e., if the
index of the Energy sector changes by positive 2% and the Information Sector
changes by minus 3%, the percentage values should still be valid regardless of
the difference in amount values.
Regarding the number
of stocks in each cap group… The way I’ve coded it, a stock is
categorized as “Small Cap” based on its latest Market Cap. I.e., number
of shares outstanding times latest day’s Close price as of the time the ATC
load is run.
Below is the “cap”
code that I use. The bold, red text retrieves the close value of the
latest bar (using LastValue() might be better).
Using this method,
the components of a Sector or Industry Market Cap index will not
change. Therefore, charted Market Cap indexes should be valid for
all time periods and times.
Notes:
·
One
caveat obviously is new and delisted stocks. These could
changes the number of stocks from bar to bar. I’m working on
changing my code to further normalize the indexes by dividing OHLC (and maybe
volume) values by the number of stocks in the index on that day.
·
Also,
remember that I’m using a Relative Performance Chart. It charts the ROC
from a zero point which is the left edge of the
chart.
·
I also
chart the ROC in two ways - “raw” and relative to a market index (my own or a
standard index like S&P 500 or “VTI”). The values
relative to the market index are computed by subtracting the market value ROC
bar value from all symbols ROC values for that bar. That the market ROC
always will be 0 and the others will be relative to the
market.
Does this shed any
light on the differences?
Regards,
Dan.
function
MarketCapGet()
{
CurDatabase = GetDatabaseName();
if(CurDatabase == "QuotesPlus_Stocks")
{
MarketCap = round(Close[BarCount
-1] *
GetExtraData("shares")/1000);
}
else
{
MarketCap = 666; //indicating N/A
}
return MarketCap ;
}
function
MarketCapCategoryGet(MarketCap)
{
CurDatabase = GetDatabaseName();
if(CurDatabase == "QuotesPlus_Stocks")
{
if (MarketCap < 1000)
MarketCapCategory= "Small";
else
{
if (MarketCap >= 1000 AND MarketCap < 5000)
MarketCapCategory= "Mid";
else
MarketCapCategory= "Large";
}
}
else
{
MarketCapCategory=
"N/A"; //indicating
N/A
}
return MarketCapCategory;
}
From:
amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Ara Kaloustian
Sent: Saturday, December 10, 2005 10:27
AM
To:
amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Rel Strength -
Market Cap - Dan Clark
Can not understand why our results
ae so different ... and agree that data purity issues would not change
much.
Wondering if you are normalizing
you data.... I removed my normalizzation and got results more like yours
...
By normalization I mean converting
results into relative form, easiest would be
%
When using ATCs, the number of
stocks in each cap group can change based on price fluctuations. This in turn
changes the total values in ATCs wrt to each other, such that if ROC is
defined as Close - Ref(Close,-x) the results will be affected by this
phenomena.
A normalized form would be if
dividing above by reference value (and x 100):
ROC = ((Close - Ref(Close,-x)) *
100 / Ref(Close,-x)) ;
----- Original Message -----
Sent:
Wednesday, December 07, 2005 3:42 AM
Subject: RE:
[amibroker] Rel Strength - Market Cap - Dan Clark (QP3 Bad Data
Problems)
Ara,
My chart looks
significantly different from yours. I’m seeing different performance
by Sector and what appears to be rollover from Small to Large cap stocks and
vice-versa. That said…
While I was writing
this memo, I discovered some serious data problems – primarily spikes in the
data. I don’t think that it affects the outcome, but I have to
be sure. So, I’m cleaning out my database.
I found many
delisted stocks still in the QP3 database. I’m cleaning them
out. When complete, I’ll rerun my ATC scans and respond
again.
Regards,
Dan.
From:
amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Ara Kaloustian
Sent: Tuesday, December 06, 2005 4:57
PM
To: AB-Main
Subject: [amibroker] Rel Strength -
Market Cap - Dan Clark
here is a chart that's a bit
more useful
This is ROC (rather than RS).
This compares in style with yours, but I still don't see the Small Caps
having any sytematic larger movements.
The chart shows percent ROC for
Transportation. Othe sectors may be different, but there seems no
systematic trend based on mkt cap.