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Re: PriceJump not detecting reverse split
[Re: DdlV]
#484282
09/29/21 20:08
09/29/21 20:08
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Joined: Jun 2013
Posts: 1,609
DdlV
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Interesting... I tried more Outlier values, and 1.1 does detect the reverse split! Why 1.1? Well, the manual says Outlier defaults to "1.1+2*sqrt(BarPeriod/1440)". Since EOD, I'm using BarPeriod 1440. This gives Outlier the default value of 3.1, which seemed too high. So I just nuked the sqrt term and went with 1.1, and viola! So, what value should be used for Outlier to detect splits (regular & reverse)? Is the current default value calculation incorrect? AKA, a bug?! Thanks.
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Re: PriceJump not detecting reverse split
[Re: DdlV]
#484289
09/30/21 22:52
09/30/21 22:52
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Joined: Jun 2013
Posts: 1,609
DdlV
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@jcl,
Also, is there an upper limit on split detection? I have an asset with 1:40 reverse split that is not being detected as a split - only an outlier...
Thanks.
EDIT: It has happened with other assets, but only with reverse splits...
Last edited by DdlV; 10/01/21 04:26.
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Re: PriceJump not detecting reverse split
[Re: DdlV]
#484503
11/02/21 18:42
11/02/21 18:42
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DdlV
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Thanks @jcl. OK, I will investigate further and try to create a smaller script that displays the problem (or reveals my error ). In the meantime, do you have thoughts about: - Picking a value 0>Outlier<2, for particular purposes - Split detection, etc. - Making reverse Split detection more robust Thanks.
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