Hi Droskill, So I take it that in your back test model (and in real trading) when a stock split happens, you would want to be stopped out but you would ignore a reverse split because your stock price has "increased in value"? Or do you have another way that should be handled -- easily enough I suppose if you adjust the shares owned for a split and key your stop off the position value, but of course that wouldn't work for using RSI, CCI, or a Stochastic.
I fail to understand how, if you ignore the bottom line cash value realities of what happens with the stocks you backtest or trade,like having the stock value ignore dividends paid and stock splits, you should could expect much reliability from backtesting. Can you enlighten me, perhaps I've been missing something for 30+ years? I do know that there is a setting in the TC chart program to show prices unadjusted for splits (Tools --> Show Unadjusted for Splits), however this doesn't affect dividend payouts (which are marked on their charts). Never understood why as it distorts reality (as I understand it). And I've never tried to see if the data could be exported unadjusted for splits -- maybe something to ask the Worden's? Peace and Justice --- Patrick ----- Original Message ----- From: droskill To: [email protected] Sent: Monday, January 11, 2010 3:43 PM Subject: [amibroker] Re: Data Feed - What do you use? - Need a Data Vendor One more item to consider - any indicator that calculates off of price will potentially have the wrong information with the smoothed data. For example, consider calculating a 2-day RSI for entry. --- In [email protected], "booker_1324" <booker_1...@...> wrote: > > Yes very different results indeed. In reality if you were long DUG and the next day the price fell $6 and you were paid $6 per share in your account, you lost nothing, which is what happened to owners of DUG. If the data showed a $6 drop, then the backtest is flawed. > > --- In [email protected], "droskill" <droskill@> wrote: > > > > Telechart smoothed the data and the dividend, and the price change, does not show up. Now imagine you had a stop in place under DUG at 3%. In the backtest, you remain long the stock. In reality, you're stopped out. Very different results. > > > > --- In [email protected], "booker_1324" <booker_1324@> wrote: > > > > > > > > > droskill, > > > > > > I wish to address your statement on Telechart about "Major problem - the API to access the data via AB doesn't adjust for splits or dividends. This basically, from my point of view, makes it useless for backtesting." > > > > > > Telechart already has all of it's data adjusted so there is no need for AB to adjust for splits or dividends. > > > > > > For example, take symbol DUG which is an ultra-short oil & gas fund. During Q4 of 2008 this fund had a remarkable net income result due to investments internal to the fund. On Dec 22 it was trading about $35, but after a $6 dividend payout the next day it opened around $29, a massive change. You can verify this by looking at historical charts at your favorite internet stock quote site, many of which show unadjusted data. But Telechart data has been backwards adjusted for this change, so the data is smooth all the way back in time, and you won't see a big price change when a big payout occurs. It may take a week or so for your fund data to be adjusted following a payout, but they will get it done. Take a look at DUG in TeleChart at the end of December 08, and you'll see no $6 gap down. > > > > > > On the contrary, I find Telechart data excellent and have used it for daily backtesting for several years along with DTN IQfeed as a complement for intraday data. > > > > > > --- In [email protected], "droskill" <droskill@> wrote: > > > > > > > > I've been spending a bit more time with Quotes Plus - pretty good data feed, but there are issues: > > > > > > > > - No lists of the stocks making up S&P500 or other key indices (they do have Nasdaq and NYSE). This means if you use the S&P, for instance, for looking % of stocks above a moving average, you're going to have to manage the lists yourself. > > > > - Has fundamentals - this is useful, and the data feed can be used with more fundamentally-oriented scanning software such as HGSI. > > > > - Has a ton of indices - gold/silver/oil, etc as well as put/call indices, etc. Premium may have the put/call as well - I'd have to take a look. > > > > > > > > On Premium Data: > > > > - Fantastic folder breakdown of industries and indices. So, running a scan over the stocks in the S&P 500 or the S&P 1500 is simple, and will not require maintenance from you. > > > > - Lacks some basic useful indices out of the box - like those mentioned above (oil/gold/etc). > > > > - No fundamental data. > > > > - Great ETF breakdowns into different categories. > > > > > > > > Telechart: > > > > - Includes access to their online stock tool freestockcharts.com > > > > - Includes fundamentals > > > > - Lots of indices and special, TC-only indices like T2106 etc. > > > > - Major problem - the API to access the data via AB doesn't adjust for splits or dividends. This basically, from my point of view, makes it useless for backtesting. > > > > > > > > That's what I've got right now - to me it's a toss up between Quotes Plus and Premium. > > > > > > > > --- In [email protected], "droskill" <droskill@> wrote: > > > > > > > > > > I think the only other vendor worth looking at is Quotes Plus - just my opinion. Anybody have a comparison of the two that has experience with both? From my limited experience, QuotesPlus has a bit more extensive indices, but Premium has it on organization. > > > > > > > > > > --- In [email protected], "louies88" <Louies88@> wrote: > > > > > > > > > > > > > > > > > > > > > > > > --- In [email protected], "patsgreatdeals" <patsgreatdeals@> wrote: > > > > > > > > > > > > > > Is there a plugin for AMIBroker? for premiumdata.net? > > > > > > > > > > > > > They don't have a plugin in the truest sense, but they have a little program that you must install. It has all the necessary structure and very well integrated to Amibroker. Everyday you just update the data via this little program and...voila...they're updated in your AB database. > > > > > > > > > > > > Premiumdata.net is very extensive and very good, especially in the sector indices. If you're a top-down analyst, you'll like their sector index break down. It's very comprehensive. The update, by the way, is very very quick compared w/ Amiquote or any other service that relies on Yahoo data. > > > > > > > > > > > > > > > > > > > > > ------------------------------------ **** IMPORTANT PLEASE READ **** This group is for the discussion between users only. This is *NOT* technical support channel. TO GET TECHNICAL SUPPORT send an e-mail directly to SUPPORT {at} amibroker.com TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at http://www.amibroker.com/feedback/ (submissions sent via other channels won't be considered) For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: http://www.amibroker.com/devlog/ Yahoo! Groups Links
