Quick follow-up - tested the TC2007 API - it does adjust for splits.
--- In [email protected], "droskill" <drosk...@...> wrote:
>
> It's a tough question - DUG pays a dividend, and let's say I'm trading using
> a short term moving average. By price, I might be out of the position. By
> dividend, I shouldn't be out of it, but the value of my position just dropped
> even though I received cash equal to the amount it dropped. What to do? If
> we use the adjusted data, then it wouldn't reflect, accurately, what the
> system would "feel" like.
>
> The only software I've seen which deals with the problem (particularly of
> splits) in a realistic way is Tradersstudio which creates its own model of
> price while keeping the split and dividend information separate (called TS
> Stocks).
>
> I talked to a rep at Worden a while back and I seem to remember them saying
> that the controls for showing split or non-split data were not supported in
> the API. I'll have to give them a call to refresh my memory. I may have it
> wrong in terms that they do reflect dividend changes but not splits.
>
> Suggestions on the subject welcome - you make some excellent points - I seem
> to wrong by what most people are posting here. :)
>
> --- In [email protected], "NW Trader" <ta4charts@> wrote:
> >
> > 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_1324@> 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.
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
> >
> >
> >
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