Filtering out "brief" signals
Author: heech
Creation Date: 11/5/2008 10:43 AM
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heech

#1
Hi there,

I have been using Bars.High and Bars.Low in my 60-minute strategy. But if these prices really mean "highest price touched" and "lowest price touched"... I just realized with all of the spurious trades that can come across... I'm destined to get myself in trouble.

So, I really want to do something more like:

HIGH - price that x% (say, 5%) of 1-minute bars in the last 60 minutes touched higher than.
LOW - price that x% (say, 5%) of 1-minute bars in the last 60 minutes touched lower than.

Does the question make sense? I know I can probably implement this with 1-minute bas, but I'm curious if there's an easier short-cut.
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Cone

#2
I don't understand the equations, but if you're trying to filter out spurious trades, then it would make sense to do whatever made sense. There aren't any shortcuts like that for backtesting, but there is a "Bad Tick" filter in the Streaming Preferences.