Richard, That's great to hear. Would it include historical component listing for major market indices (like Nasdaq 100, SP&500) ? As we all know components of indexes change and to remove survivorship bias from backtest results it is necessary to have index component lists as they were in the past (for every year).
Best regards, Tomasz Janeczko amibroker.com ----- Original Message ----- From: Richard Dale To: [email protected] Sent: Tuesday, July 10, 2007 4:37 AM Subject: RE: [amibroker] Re: AD Line problem? We're about to release a history going back to 1950 that will include all listed and delisted stocks - the final touches are being added to it right now. It will be fully compatible with AmiBroker too. Best regards, Richard Dale. Norgate Investor Services - Premium quality Stock, Futures and Foreign Exchange Data for markets in Australia, Asia, Canada, Europe, UK & USA - www.premiumdata.net From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf Of Larry M Powell Sent: Monday, 9 July 2007 9:27 PM To: [email protected] Subject: RE: [amibroker] Re: AD Line problem? Richard, Do you delete a stock history after delisting, or mergers? Some data bases have meaningless historical data because of elimination of companies when they cease to exist, how does Premium Data handle this? Larry M Powell ------------------------------------------------------------------------------ From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf Of Richard Dale Sent: 07/09/2007 3:21 AM To: [email protected] Subject: RE: [amibroker] Re: AD Line problem? You should note that the data on the Unicorn site averages data from multiple sites which have different methodologies for producing advancing and declining volume. By different methodologies, I mean some sites have "all exchanges combined" aka consolidated volume and other sites have exchange-only volume. For example, over 30% of the volume of NYSE stocks priced above $10 and with > 1 million shares traded is actually traded on the NASDAQ. Add all of the other ECNs in there and there's a large percentage of volume that is NOT traded on a particular exchange. Here at Norgate we've decided to use the consolidated volume for advancing, declining and unchanged volume. Averaging consolidated and exchange-traded volume produces a meaningless figure. Best regards, Richard Dale. Norgate Investor Services - Premium quality Stock, Futures and Foreign Exchange Data for markets in Australia, Asia, Canada, Europe, UK & USA - www.premiumdata.net From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf Of Barry Scarborough Sent: Monday, 9 July 2007 6:10 PM To: [email protected] Subject: [amibroker] Re: AD Line problem? While you may be able to calculate the AD with the data in AB it seems to me that you must have have every stock on the NYSE and NASDAQ in your database. There is an easier and probably more reliable way but it requires that you get data from an external source. http://unicorn.us.com/advdec/ has historical data going back to 2002. You have to create a symbol, I use ~NYSE and ~NASD where Adv Issues is the open and Dec issues is the close. The higher of these goes in High and the lower in Low. The AdvVolume goes in Volume and the DecVolume in OpenInterest. Then you calculate the AD line using the Open and Close. The formula for a simple A/D line is below. If you want the data I can put it in the Files section. Import it into AB. Then you will have to update it manually daily. The data goes back to 1965 for nyse and 1978 for nasd. Barry // Advance / Decline Ratio // By Barry Scarborough whichIndex = ParamToggle("Select market", "NASD|NYSE", 0); if (whichIndex == 0) { index = "~NASD"; aI = Foreign("~NASD", "O"); dI = Foreign("~NASD", "C"); } else { index = "~NYSE"; aI = Foreign("~NYSE", "O"); dI = Foreign("~NYSE", "C"); } ad = aI / dI; Plot(ad , index + " A/D Issues Ratio Daily", colorRed) ; Plot(1,"",colorBlue); Plot(aI, "\nUp", colorGreen, styleNoLine | styleOwnScale); Plot(dI, "\nDown", colorGreen, styleNoLine | styleOwnScale); Plot(ai-di, "\nDelta", colorBlue, styleNoLine | styleOwnScale); --- In [email protected], "areehoi" <[EMAIL PROTECTED]> wrote: > > Have any of you been successful in using the "ADLine" indicator? This > is a built in indicator that comes with Amibroker. To us it one needs > to go to the "Composites recalculation tool" that can be found under > >Symbol -> Categories Menu. Follow the instructions (implicitly) and > one is supposed to get the A/D line. I've never had any luck using > this. If anyone has had success let me know how accomplished. > As an alternate I latched onto the follow program (AFL) that is > supposed to calculate both the Advances/Declines and Hi/Lows. It seems > to work for the N100 but when expanded to the NYSE and Nasdaq markets > I've had problems. My programming skill are primarily "copy and paste" > so I would be most appreciative if someone knowledgeable would look at > it and see what need to be changed for it to work properly. Thanks > > Dick H. > > // Develops 4 composites that can be plotted or manipulated as you wish > // How to Run > // 1) Build a composite of NYSE AND NASDQ stocks > // 2) Select an issue with a long history in the current ticker window > // 3) Set APPLY TO to use filter Market NYSE or NASDQ > // 4) Set RANGE to one bar... 1 n last quotations > // 5) Press SCAN > > //===================52 Week New > NewLows================================== > _SECTION_BEGIN("NewHINewLO"); > Title="NewhighNewlow"; > > > NYSE = "~" + MarketID(1); > NASDQ = "~" + MarketID(3); > Newhigh=IIf(H>Ref(H,-1),Ref(H,250),0); > Newlow=IIf(L<Ref(L,-1),Ref(L,250),0); > > AddToComposite(IIf(C > HHV(Ref(C, -1), 250), 1,0), "~NYSENewHi", "X"); > AddToComposite( 1, "~NYSENewHi", "I" );//add one to open interest > field,use this field as a counter > AddToComposite(IIf(C < LLV(Ref(C, -1), 250), 1,0), "~NYSENewLo", "X"); > AddToComposite( 1, "~NYSENewLo", "I" ); > AddToComposite(IIf(C > HHV(Ref(C, -1), 250), 1,0), "~NASDQNewHi", "X"); > AddToComposite( 1, "~NASDQNewHi", "I" ); > AddToComposite(IIf(C < LLV(Ref(C, -1), 250), 1,0), "~NASDQNewLo", "X"); > AddToComposite( 1, "~NASDQNewLo", "I" ); > > > NewHigh=Foreign("~NYSENHi","X"); > NewLow = Foreign("~NYSENLo","X"); > NewHigh=Foreign("~NASDQNHi","X"); > NewLow = Foreign("~NASDQNLo","X"); > > tgl = ParamToggle("Select MKT", "NYSE|NASDQ", 0); > > if (!tgl) > > { > > MKT = "NYSE|NYSE"; > > } > > else > > { > > MKT = "NASDQ|NASDQ"; > > } > > //Opt_H_L=Optimize("Opt_H_L",43,20,50,1); > //Opt_A_D=Optimize("Opt_A_D",12,10,30,1); > > Opt_H_L=30; > Opt_A_D=5; > > DIFF_H_L = NewHigh-NewLow; > MADiff_H_L=MA(Diff_H_L,Opt_H_L); > Plot(NewHigh,"NewHigh",colorGreen,styleLine); > Plot(NewLow,"NewLow",colorRed,styleLine); > Plot(MADiff_H_L,"MADiff_H_L",colorDarkYellow,styleLine); > > MA_H_L=Ref(MADiff_H_L,0); > MA_H_L1=Ref(MADiff_H_L,-1); > MA_H_L3=Ref(MADiff_H_L,-3); > MA_H_L4=Ref(MADiff_H_L,-5); > Rising_H_L=MA_H_L>MA_H_L1 AND MA_H_L>MA_H_L3 AND MA_H_L>MA_H_L4 ; > > //===================Advance/Decline Issues > AddToComposite(IIf(C - Ref(C, -1) > 0, 1,0), "~NYSEAdv", "X" ); > AddToComposite(IIf(Ref(C, -1) - C > 0, 1,0), "~NYSEDec", "X" ); > AddToComposite(IIf(C - Ref(C, -1) > 0, 1,0), "~NASDQAdv", "X" ); > AddToComposite(IIf(Ref(C, -1) - C > 0, 1,0), "~NASDQDec", "X" ); > > Adv = Foreign("~NYSEAdv","X"); > Dec = Foreign("~NYSEDec","X"); > Adv = Foreign("~NASDQAdv","X"); > Dec = Foreign("~NASDQDec","X"); > > DIFF_A_D = Adv-Dec; > MADiff_A_D = MA(Diff_A_D,Opt_A_D); > Plot(Adv,"Adv",colorBlack,styleThick); > Plot(Dec,"Dec",colorBrown,styleThick); > Plot(MADiff_A_D,"MADiff_A_D",colorPlum,styleLine); > MA_A_D = Ref(MADiff_A_D,0); > MA_A_D1 = Ref(MADiff_A_D,-1); > MA_A_D3 = Ref(MADiff_A_D,-3); > MA_A_D4 = Ref(MADiff_A_D,-5); > Rising_A_D = MA_A_D > MA_A_D1 AND MA_A_D > MA_A_D3 AND MA_A_D > MA_A_D4; > Buy=Cover=Rising_A_D==True AND Rising_H_L==True; > Sell=Short= Rising_A_D==False AND Rising_H_L==False; > > Buy=ExRem(Buy,Sell); > Sell=ExRem(Sell,Buy); > //PlotShapes( shapeUpArrow * Buy + shapeDownArrow * Sell, IIf (Buy, > colorGreen, colorRed)); > Bu=Ref(Buy,-1); > Se=Ref(Sell,-1); > > Filter = C; > > AddColumn(C,"Close",1.2); > AddColumn(NewHigH,"NewHigh",1.2); > AddColumn(NewLow,"NewLow",1.2); > AddColumn(Adv,"Adv",1.2); > AddColumn(Dec,"Dec",1.2); > //AddColumn(Rising_A_D,"A_D",1.2); > //AddColumn(Rising_H_L,"H_L",1.2); > > _SECTION_END(); >
