YEEESSSS!!!!
Steve,
You have no idea how much more enjoyable you just made my weekend!!!!!!!!!!!!!!
I dont know about you,but along with the beauty TJ's approach brings, comes alot of pain:)..
Once again thanks for the help...You made it so simple.....
Allan
----- Original Message -----
From: Steve Dugas <[EMAIL PROTECTED]>
Date: Saturday, September 16, 2006 1:42 pm
Subject: Re: [amibroker] Re: ATC mis-Calculation??????
To: [email protected]
> Hi Allen,
>
> The beauty of AB is that TJ does not try to do everything for
> you. Providing a few "easy to use displays" would only limit you
> to just those things. Instead he provides the tools that allow
> *you* to do just about anything you can think of. Along these
> lines, the beauty of AddTo Composite is that it simply creates
> the composites of whatever you want, and then you can further
> manipulate them any way you want for display purposes. For
> example, you could do something like this to get what you
> describe from AIQ:
>
> // code to create composites
> ClosePctChg = ROC( Close, 1 );
> ...same for OHL...
> AddToComposite( ClosePctChg, "~MyTicker", "C" );
> ...same for OHL, add 1 to OI for counter...
>
> // code for displaying your composite ticker
> Close = Close / OpenInt + 100;
> ...same for OHL...
> Plot( Close, "C", colorBlack, styleCandle );
>
> Obviously not tested for errors but this should hopefully get
> you started...
>
> Steve
> ----- Original Message -----
> From: [EMAIL PROTECTED]
> To: [email protected]
> Sent: Saturday, September 16, 2006 8:39 AM
> Subject: Re: [amibroker] Re: ATC mis-Calculation??????
>
>
> 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"
> 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" 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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