Allan, No you are not nuts!
How can an *index* include a stock that wasn't trading back then? It is how you choose to handle these exceptions that decides what kind of trader you are. Howard Bandy's example chapter, from his Quantitative Trading book, gives one example of how this problem can be managed when backtesting. There are others. Assuming you adopt that method,will it be accurate? Will it be more or less accurate than the headline indexes? What do you want the index for anyway? Backtesting or scanning. In real time the indexes are always *correct* unless a company is suspended. In that case, as Tomasz pointed out in a previous post, the index pads the data for the suspended symbol. If you buy historical records of an index, who was keeping track of the constituents at the time, and can you obtain that info? If a company is in an index and the nature of it's business changes who decides if and when to remove it from the index? BrianB2. --- In [email protected], "matrix10014" <[EMAIL PROTECTED]> wrote: > > Hello all, > > I have received various thoughts on ATC and spikes(pad and > align,reload data),but IMHO i think their may be an inherent flaw in > the calculation of indicies..There is also a very good chance i am > losing it... > > Here is my real issue regarding ATC...After running the simple ATC > code,i found a tremendous number of data spikes.It appears to be > occuring when a stock with a shorter data history is in the > composite.If I am not mistaken,ATC sums up the indivisual stocks and > creates a price weighted index.So,if we have a an index of four > stocks,A,B and C having one year of history,and stock D having 6 > months,if stock D's initial price differs substantially from the > composite of A,B,C,there will be a large spike.I verified it.As an > example..On day 180,A+B+C=50.On day 181,if stock D is introduced and > it is trading at 50,A+B+C+D =100 and the index will have increased > 100%.Of course if you include the count divisor,this affect will be > mitigated,but none the less,it is not the proper way to handle an > index.IMHO, an equal weighted composite with the change in percent > returns may be the solution > > Ami I nuts,or just losing my mind??? > > 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 <*> 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! ID required) <*> To change settings via email: mailto:[EMAIL PROTECTED] mailto:[EMAIL PROTECTED] <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
