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
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--
Cheers
Graham
http://e-wire.net.au/~eb_kavan/
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