@jcl,
Would appreciate your thoughts on the above questions re.
- Picking a value 0> <2 for Outlier, specifically for Split detection
- Making reverse Split detection more robust
Also, I've run into an "anomaly":
When I loop over a number of Assets, PriceJump is applied to the 1st Asset in the loop as well as the Asset which actually had a price jump. I've tried reversing the Assets order, and again it's the (different) 1st Asset that gets incorrectly flagged. This "anomaly" happens with both regular & reverse splits. And if an Asset has multiple splits (on different bars), it happens each time.
Can you confirm this?
Thanks.