Brian,
The issue I have is predominantly my inability to access the capabilities of Amibroker.What i am realising is the other programs I have used were toys compared to Ami,but I could access most of what the programs had to offer.Most of the functions were hard coded to make it easy.....
Ami can be simple if you stick to basic AFL,or exceedingly complex if you want to raise the bar.The ATC index calcultion is a good example.You read the users manual,you look at the ATC doc and you think you have a clue.But the truth is,you are only guided down a path..You run into complexities you never knew existed because there are so many things Ami can do.Tomasz statement of "when are users going to realize there is nothing Ami cant do",is not a boast.Its a simple fact.Unfortunately,for the new user/programmer this can be quite the challenge and most time/energy consuming...
I dont think you fully understand my issue with ATC and Indicies.You need to create an ATC composite on an industry with very few stocks.i.e <6.What you will see,is if there are stocks with varying data history,if one of the shorter history stocks have an initial price that is substantially different than the index you will get a large spike.It has nothing to do with:
" 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"
It is simply how a price weighted index is calculated.Run thru your database and take a good look at your industry groups with different data histories.IMHO,pad and align is not the answer.What is the answer is for me to learn how to calculate a different type of index
To be specific,I am am ex user of AIQ.IMHO,they were the "pioneer" in Sector/group/stock data formats and made everything fairly seemless.They had one method of creating and index.To the best of my memory,it was equal weighted,the index would have an initial value of 100 and changes were the average of the daily percent returns.I am not saying this methodology is right or wrong,but you will NOT run into the possible dilemna of massive spikes in your index as you do with a price weighted index.
Allan
----- Original Message -----
From: "brian.z123" <[EMAIL PROTECTED]>
Date: Saturday, September 16, 2006 4:46 am
Subject: [amibroker] Re: ATC mis-Calculation??????
To: [email protected]
> 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
> >
>
>
>
>
>
__._,_.___
From: "brian.z123" <[EMAIL PROTECTED]>
Date: Saturday, September 16, 2006 4:46 am
Subject: [amibroker] Re: ATC mis-Calculation??????
To: [email protected]
> 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
> >
>
>
>
>
>
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