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Excuse me, but how often does this happen? Go to the Yahoo Stock
Screener, for example, and you'll find that 96% of the 7000+ stocks in
its universe have dividend yields of 5% or less and 99.9% have
dividend yields of 15% or less. In practice, whether you buy the
stock cum-dividend or ex-dividend is irrelevant (except maybe for
taxes), so this is a backtest issue affecting very few stocks and
anyone doing due diligence will easily pick it up.
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> b
>
> I hate to be a bit pedantic, but even a short term trader is
affected by
> these distortions. Imagine the effect of a 50% in the price of any
stock
> on today's chart. If you owned the stock, you would have 50% cash
(or stock
> in another company) and your original shares worth 50% of what they
were
> worth yesterday. However, what did the 50% drop in price do to
your short
> term indicators? It would look like one SERIOUS breakout to the
downside.
> Yes, you may go and look at the chart. But that's not what
happens in
> backtesting a mechanical system, is it?
>
> Assuming that you backtest over a few years, even a very short term
trading
> system will encounter many of these distortions.
>
> Can you see the problem?
> -----Original Message-----
> From: b [mailto:b519b@x...]
> Sent: Thursday, January 08, 2004 1:58 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] dividend (more on the subject)
>
>
> Howard,
>
> Thanks for the reply. I appreciate know the perspective of people
like
> you, Chuck
> and other who have many years for experience working with data
issues.
>
> It would seem to me that whatever bias is created by excluding
dividends
> would
> decrease with one's average holding period. Obviously someone who
is a buy
> and hold
> investor with a 10 year holding period might be more interested in
what
> effect
> dividends would have, but a daytrader would never have to worry
about any
> distortion
> (assuming the daytrader only used today's data for trading).
>
> b
>
> --- Howard Bandy <howardbandy@xxxx> wrote:
> > Hi b -
> >
> >
> >
> > We could ask Tomasz to provide these capabilities in AmiBroker.
> >
> >
> >
> > One, it would complicate his life significantly.
> >
> > Two, we would need a data vendor who provided accurate real
time and
> > historical data for all the fields we are tracking.
> >
> > Three, the companies reporting data would need to agree on the
methods
> they
> > use so as to insure that we are able to work with consistent
data.
> >
> > Four, eventually we get back to the existence of an unknown and
> unknowable
> > bias in any data released by any reporting agency which distorts
> whatever
> > numbers appear in the data stream.
> >
> >
> >
> > I recommend we work with what we already have, and be
conservative when
> > examining back test results.
> >
> >
> >
> > Howard
> >
> >
>
>
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