Hi Brian, Just in case you weren't aware, there is an excellent PDF written by Herman that discusses ATC in great detail - 30 or 40 pages if I remember correctly. It is in the 3rd-party section of the AB website, named IntroToATC or something similar. After reading that, you may decide to skip the other 3000 posts 8 - )
Steve ----- Original Message ----- From: "brian.z123" <[EMAIL PROTECTED]> To: <[email protected]> Sent: Thursday, September 14, 2006 9:03 PM Subject: Re: [amibroker] ATC and Missing quotes > Hello Alan, > > ATC is a very interesting function and an *Ace in the Hole* for Ami. > It is worth the price of admission all by itself. > I wanted to do similar in my previous software but realised it would > require endless code summing, symbol by symbol, and gave up (the > software that is). > > As you know, I clipped 48 doc pages, as a learning reference, from > 387 ATC posts alone. > That is not counting the 2-3000 posts for AddToComposite. > It must be one of the most discussed functions in Ami. > I haven't mustered the drive to read the latter yet (if I read 200 > posts a day, including incoming posts, how long will it take me to > read the archives in their entirety?????????????????) > > The good news is once we get over the top ten functions and looping > we are well on the way. > > I am studying ATC at the moment myself. > > As Ami has evolved over many years, and because Tomasz is a user as > well as the developer, AB has the functions and features we need as > traders. > Some of them are very subtle. > I find it helps me to learn if I look out for the design guidelines > that Tomasz has used as there are often good reasons why things *are > the way they are*. > Sometimes the program logic protects us in one area while paying a > price somewhere else. > There is no *Holy Grail* of software; the developer has to make > trade-offs all the way along. > > ATC has two logical mainstays; the first is that number crunching is > done in arrays and outside of our backtesting, so that while it > takes a while to run large constructions we can use them over and > over quite quickly and easily. > The second is that in ATC missing data is accounted for by 'pad and > align'. > These two reasons alone are why Tomasz continually advices users to > do ATC composing outside of looping. > > When we manipulate the data in other processes missing data is dealt > with in other ways or sometimes we have to account for it ourselves > e.g. Tomasz has allowed missing bars in charts, to put it crudely. > The reason for this is that it allows us a seamless view of price > progression. > If missing bars were allowed in charts it would be such a mess the > eye couldn't make sense of it all. > > Of course, data management is a textbook all by itself e.g. Tomasz > has mentioned in posts that suspension of trading is one common > reason stocks have null values on some days. > As well as that, handling stock arrivals and survivals is always a > challenge for analytical traders. > How each trader manages those types of issues ultimately defines > their trading style. > I have found that as I progress my trading style evolves out of > necessity, as one by one I strive to eliminate unacceptable risks > from my trading. > Of course that only happens after the risks are discovered. > Non-analytical traders ( as opposed to Quantitative Traders? - > thanks Howard) are blissfully unaware of some of the risks they are > taking. > Any trader who has not analysed the markets with a program like AB > has no idea of the arbitrary nature of the *headline indexes*. > > All I am pointing out is that as we progress along with Ami we will > naturally come to a greater appreciation of the subtle choices it > makes. > It is not so important that the processes are absolutely correct as > it is that we understand the pros and cons of the choices made and > manage them accordingly. > > > > To address some specifics re your question(s). > > There is only so much we can learn about ATC from the textbooks. > The final trim is applied via practical application and the forum. > > I have found a few simple tools that can help. > > 1. When you create a composite you can use buy = 1 with n = 1 when > you do the scan and this will list the symbols that are included in > the composite along with their close for the last day or lastvalue > (for training use only - do not use buy =1 in actual applications). > > 2. Create a small practice database and download, say 2-5 symbols > plus one index, say ^DJI, from Yahoo. > Only take one months worth of data. > This small dataset will allow you to manually create composites and > reference the ATC logic. > > Create a simple ~ATC "X" on the close of your three symbols > including a count with a separate ~countATC "X". > You can now select the ~ATC symbols from the All symbol list and > view the ~ATC data in Quote editor. > The individual OHLC's etc can be manually added for any date to see > if they tally with the ATC's. > > Go to quote editor for each symbol and corrupt the data. > Delete a row of quotes here and there from one symbol only. > Removing the first week of data from one symbol to simulate a stock > that has just commenced trading. > Also add a bar or two at the beginning of another symbol(not the > index ^DJI which is a the top of the symbol list - keep ^DJI pure). > Delete a row or two from the end of one symbol to simulate a stock > that has stopped trading. > Run your data purify and see what reports you get for the data > corruptions you created. > > Slightly change the names of the ATC's and repeat your composite > scans with and without pad alignment. > > Plot the various ~ATCcount and ~ATC composites to compare the > outcomes with the good and corrupt data. > > I intend to do this myself today to find out exactly what Tomasz > meant when he said: > > "You would need to check for Null values and/or use Nz (null to > zero) because of the fact > that if you don't have data for particular security Foreign() will > give you null values at the beginning of the array." > > Tomasz Janeczko #99855 > > 3. Use the explorer in conjunction with ATC as a training tool e.g. > you can add a column in Explorer to report beginvalue, lastvalue or > any date in between. Add any of those up and compare the result to > the composite for that day as it is plotted. > If you run explorer after your composite scan you can also get a > report on the beginvalue and lastvalue for the ~ATC's. > > Notice what happens to beginvalue for the symbol that has data > starting before the others. > > I don't have definitive answers to all of the questions on ATC but I > did learn a lot by using the above training methods. > > Good luck. > > When we both make the top 5% of traders in the world we will meet > for a beer or wine in NewYork and Sydney. > > BrianB2 d:-) ............baseball cap. > > --- In [email protected], [EMAIL PROTECTED] wrote: >> >> Perhaps I should ask this question...If I have a 3 stock index > where the sum is 50,since ATC creates a price weighted index the > index should be at 16.667.If a 4th stock in the index with a much > shorter data history is in the index,on the first day of that stocks > history,how are the calculations performed???? As an example,if the > 4th stock traded at 50 on its initial day,and the other 3 stocks > with longer histories had a sum of 50 on that day,does that mean the > index would jump from 16.667 to 25(100/4)???? >> >> Any help appreciated >> >> Allan >> >> ----- Original Message ----- >> From: Gordon Sutherland >> Date: Thursday, September 14, 2006 5:10 pm >> Subject: RE: [amibroker] ATC and Missing quotes >> To: [email protected] >> >> > Allan, >> > >> > Try using 'Pad and align' in the AA Settings and link to an >> > appropriateindex. This will put the previous day's close into >> > the composite >> > calculations for stocks with no data on that day. This should >> > eliminatea lot of erratic pricing in your Sector/Industry Groups >> > due to data >> > holes. >> > >> > Hope this is of help. >> > >> > Regards, >> > >> > Gordon Sutherland >> > >> > >> > -----Original Message----- >> > From: [email protected] >> > [mailto:[EMAIL PROTECTED] On >> > Behalf Of matrix10014 >> > Sent: Friday, 15 September 2006 2:40 a.m. >> > To: [email protected] >> > Subject: [amibroker] ATC and Missing quotes >> > >> > Just figured it out...I ran database purify and set the filter >> > to my >> > industry.Several stocks are missing quotes for a short time >> > frame.I am >> > using Quotes plus.. >> > >> > Any suggestions? >> > >> > thanks in advance >> > >> > Allan >> > >> > >> > >> > >> > >> > >> > Please note that this group is for discussion between users only. >> > >> > To get support from AmiBroker please send an e-mail directly to >> > SUPPORT {at} amibroker.com >> > >> > For other support material please check also: >> > http://www.amibroker.com/support.html >> > >> > >> > Yahoo! Groups Links >> > >> > >> > >> > >> > >> > >> > >> > >> > >> > >> > >> > >> > > > > > > > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > > For other support material please check also: > http://www.amibroker.com/support.html > > > Yahoo! Groups Links > > > > > > > > > > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> Your email settings: Individual Email | Traditional <*> To change settings online go to: http://groups.yahoo.com/group/amibroker/join (Yahoo! 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