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Thanks Graham!
I have been doing that but this elimiates candidate stocks due to
a gap...
What I would like to do is ignore those events, not the complete stock.
I think, for backtesting, I'll look ahead and not enter a trade if it
will spike and the add a switch to turn this "look-ahead" off...
Does this make sense?
Walt
--- In amibroker@xxxxxxxxxxxxxxx, Graham <kavemanperth@xxxx> wrote:
> You could always exclude stocks that have had large gaps during the
> period of your backtest. The only problem here is if the gap was due
> to normal trading volatility (eg sudden good or bad news) then it
> should remain in your testing as this is real trading risk.
> If you maintain your database to include adjustments for stock splits
> and consolidations then you should not have any untoward gaps.
> If you run an exploration for gaps over the stocks you can then check
> first on what stocks to exclude
> Saying that here is an example of how to exclude stocks based on gaps
>
> CondGap = Sum( GapUp()*( L/Ref(H,-1) ) >= 1.3 OR GapDown()*(
> Ref(L,-1)/H ) >= 1.3 , 500 ) ==0; // using 30% gap as limit and over
> 500 bars assumed as test period
>
> Buy = YourBuyConditions AND CondGap;
>
>
> Hope this helps
>
>
> On Apr 2, 2005 3:00 AM, hairy_mug <WSCHWARZ@xxxx> wrote:
> >
> >
> > When I back test and optimize, there are usually one or two stocks
> > which throw off the profit because they had one large gain.
> > I do not want to consider results over a set threshold.
> >
> > Currently I have to exclude the stocks specificly...
> > All ideas welcome!
> >
> > Walt
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
>
>
> --
> Cheers
> Graham
> http://e-wire.net.au/~eb_kavan/
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