20dmf composition

[TraderD]

Hi Pascal,

I'm wondering how you keep track of the inevitable ticker changes within the 96 sectors comprising the 20DMF sectors/stocks population. Do you modify the set manually every so often?

For example, in the past few months I notice that MEE was acquired by ANR in the Coal sector, PDE acquired by ESV in the Drillers sector, HOC replaced by HFC in the Refiners sector (Holly merged with Frontier), APWR disappeared in the Solar sector (chinese company), GRS changed to AUQ and TRE changed to TRX in the Gold sector, etc.

Regards,

Trader D

[Pascal]

I do adapt to ticker changes. If one stock disappears, I erase it.
Sometimes, I add new stocks in the database. These additions/deletions have a small impact on the general signal, but at some point I recalculated the past signals considering only the newest tickers, and I barely saw any difference in the 20DMF signals. The big stocks like AAPL and XOM will not be removed soon. So the issue is with smaller stocks and since there are about 7 to 10 stocks in each sector, and since there are almost 100 sectors, each of these stocks would not weight more than 0.1% to 0.2% of the total result "in strength", but I am calculating an equilibrium and not a strength. So impact on the indicator is almost invisible to the naked eye.

What has more influence is for example when a company like HK is bought out, because this attracts money in all the other Nat-gas companies. So, at some point HK will be erased, but it had its biggest influence when it was bought out and not when it will finally be removed out of the sectors when the buy-out will be official

Pascal.

[TraderD]

I do adapt to ticker changes. If one stock disappears, I erase it.
Sometimes, I add new stocks in the database. These additions/deletions have a small impact on the general signal, but at some point I recalculated the past signals considering only the newest tickers, and I barely saw any difference in the 20DMF signals. The big stocks like AAPL and XOM will not be removed soon. So the issue is with smaller stocks and since there are about 7 to 10 stocks in each sector, and since there are almost 100 sectors, each of these stocks would not weight more than 0.1% to 0.2% of the total result "in strength", but I am calculating an equilibrium and not a strength. So impact on the indicator is almost invisible to the naked eye.

What has more influence is for example when a company like HK is bought out, because this attracts money in all the other Nat-gas companies. So, at some point HK will be erased, but it had its biggest influence when it was bought out and not when it will finally be removed out of the sectors when the buy-out will be official

Pascal.

Thanks, Pascal, it's good to know that the aggregated signal is robust to internal component changes. Do you care if companies get delisted from the Major exchanges (NYSE,Nasdaq,TSE) and trade on pink sheets instead (e.g. MICC)? I assume there's a minimum trading volume requirement. Also, as trading activity on other exchanges is growing relative to US exchanges (in particular in Asia), do you foresee that the stock population will expand into those markets to properly reflect global money flows?

[Pascal]

Pink sheet stocks are not considered.
I also want to keep the focus on US listed stocks, because we are trading US listed instruments.
There is a specific section for Canadian stocks, but no 20DMF for the Canadian market, because there are not enough sectors/stocks in each sector.
The 20DMF is about the US market.


Pascal