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Filter high and low spikes

by QuantShare, 3754 days ago
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This item doesn't contain any downloader, but it contains a script, in the Post-Script, that filters quotes from bad high and low prices. The filtering method consists of guessing which bars had bad intraday ticks that result in big spikes in an historical chart. (The candlestick bar has long shadows). These long shadows are often bad and could results in misleading backtesting results.

The idea of this filter is to calculate the standard deviation of the daily range (high price - low price) and then remove all the shadows from the bars where the range exceeds three standard deviations. This filter could be added to any downloader that downloads quotes data. The filter could be applied to stocks, futures, ETFs, options...

Explanation: A candlestick bar is composed of a body, an upper shadow and a lower shadow. The body is the region between the open and close price. The upper shadow is the region between the open or close and the high price, and the lower shadow is the region between the open or close and the low price.


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Type: Download Script

Object ID: 135


Country:
All

Market: All

Style:
Technical Analysis

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