Hi Droskill,
So I take it that in your back test model (and in real trading) when a
stock split happens, you would want to be stopped out but you would ignore
a reverse split because your stock price has "increased in value"? Or do
you have another way that should be handled -- easily enough I suppose if you
adjust the shares owned for a split and key your stop off the position
value, but of course that wouldn't work for using RSI, CCI, or a
Stochastic.
I fail to understand how, if you ignore the bottom line cash value
realities of what happens with the stocks you backtest or trade,like having the
stock value ignore dividends paid and stock splits, you should could
expect much reliability from backtesting. Can you enlighten me,
perhaps I've been missing something for 30+ years?
I do know that there is a setting in the TC chart program to show prices
unadjusted for splits (Tools --> Show Unadjusted for Splits), however this
doesn't affect dividend payouts (which are marked on their charts). Never
understood why as it distorts reality (as I understand it). And I've never tried
to see if the data could be exported unadjusted for splits -- maybe something to
ask the Worden's?
Peace and Justice --- Patrick
----- Original Message -----
Sent: Monday, January 11, 2010 3:43
PM
Subject: [amibroker] Re: Data Feed - What
do you use? - Need a Data Vendor
One more item to consider - any indicator that calculates off
of price will potentially have the wrong information with the smoothed
data. For example, consider calculating a 2-day RSI for
entry.
--- In amibroker@xxxxxxxxxxxxxxx,
"booker_1324" <booker_1324@xxx> wrote:
>
> Yes very
different results indeed. In reality if you were long DUG and the next day the
price fell $6 and you were paid $6 per share in your account, you lost
nothing, which is what happened to owners of DUG. If the data showed a $6
drop, then the backtest is flawed.
>
> --- In amibroker@xxxxxxxxxxxxxxx,
"droskill" <droskill@> wrote:
> >
> > Telechart
smoothed the data and the dividend, and the price change, does not show
up. Now imagine you had a stop in place under DUG at 3%. In the
backtest, you remain long the stock. In reality, you're stopped
out. Very different results.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx,
"booker_1324" <booker_1324@> wrote:
> > >
> > >
> > > droskill,
> > >
> > > I wish to
address your statement on Telechart about "Major problem - the API to access
the data via AB doesn't adjust for splits or dividends. This basically,
from my point of view, makes it useless for backtesting."
> > >
> > > Telechart already has all of it's data adjusted so there is
no need for AB to adjust for splits or dividends.
> > >
>
> > For example, take symbol DUG which is an ultra-short oil & gas
fund. During Q4 of 2008 this fund had a remarkable net income result due to
investments internal to the fund. On Dec 22 it was trading about $35, but
after a $6 dividend payout the next day it opened around $29, a massive
change. You can verify this by looking at historical charts at your favorite
internet stock quote site, many of which show unadjusted data. But Telechart
data has been backwards adjusted for this change, so the data is smooth all
the way back in time, and you won't see a big price change when a big payout
occurs. It may take a week or so for your fund data to be adjusted following a
payout, but they will get it done. Take a look at DUG in TeleChart at the end
of December 08, and you'll see no $6 gap down.
> > >
> >
> On the contrary, I find Telechart data excellent and have used it for
daily backtesting for several years along with DTN IQfeed as a complement for
intraday data.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx,
"droskill" <droskill@> wrote:
> > > >
> > >
> I've been spending a bit more time with Quotes Plus - pretty good data
feed, but there are issues:
> > > >
> > > > -
No lists of the stocks making up S&P500 or other key indices (they do have
Nasdaq and NYSE). This means if you use the S&P, for instance, for
looking % of stocks above a moving average, you're going to have to manage the
lists yourself.
> > > > - Has fundamentals - this is useful,
and the data feed can be used with more fundamentally-oriented scanning
software such as HGSI.
> > > > - Has a ton of indices -
gold/silver/oil, etc as well as put/call indices, etc. Premium may have
the put/call as well - I'd have to take a look.
> > > >
> > > > On Premium Data:
> > > > - Fantastic
folder breakdown of industries and indices. So, running a scan over the
stocks in the S&P 500 or the S&P 1500 is simple, and will not require
maintenance from you.
> > > > - Lacks some basic useful indices
out of the box - like those mentioned above (oil/gold/etc).
> > >
> - No fundamental data.
> > > > - Great ETF breakdowns into
different categories.
> > > >
> > > >
Telechart:
> > > > - Includes access to their online stock tool
freestockcharts.com
> > > > - Includes fundamentals
>
> > > - Lots of indices and special, TC-only indices like T2106
etc.
> > > > - Major problem - the API to access the data via
AB doesn't adjust for splits or dividends. This basically, from my point
of view, makes it useless for backtesting.
> > > >
>
> > > That's what I've got right now - to me it's a toss up between
Quotes Plus and Premium.
> > > >
> > > > --- In
amibroker@xxxxxxxxxxxxxxx,
"droskill" <droskill@> wrote:
> > > > >
> >
> > > I think the only other vendor worth looking at is Quotes Plus -
just my opinion. Anybody have a comparison of the two that has
experience with both? From my limited experience, QuotesPlus has a bit
more extensive indices, but Premium has it on organization.
> > >
> >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx,
"louies88" <Louies88@> wrote:
> > > > > >
>
> > > > >
> > > > > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx,
"patsgreatdeals" <patsgreatdeals@> wrote:
> > > > >
> >
> > > > > > > Is there a plugin for
AMIBroker? for premiumdata.net?
> > > > > > >
>
> > > > > They don't have a plugin in the truest sense, but
they have a little program that you must install. It has all the necessary
structure and very well integrated to Amibroker. Everyday you just update the
data via this little program and...voila...they're updated in your AB
database.
> > > > > >
> > > > > >
Premiumdata.net is very extensive and very good, especially in the sector
indices. If you're a top-down analyst, you'll like their sector index break
down. It's very comprehensive. The update, by the way, is very very quick
compared w/ Amiquote or any other service that relies on Yahoo data.
>
> > > > >
> > > > >
> > >
>
> > >
>
>
>
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