IMPORTANT: found problem with Highest/Lowest using the #Vol series

Announcements
1

Dear All,

We uncovered a problem with the Higest() and Lowest() functions when using them for volume using the #Vol series parameter. The historical value for stocks with splits were incorrect. When reversing out future splits to calculate a point-in-time value the output was being multiplied by the future splits instead of divided.

This fix is going live soon. If your systems relied on these functions with #Vol series your simulation re-runs will change. Please let us know of any issues. Should not be a common use of these functions. I checked all R2G’s and none use in Buy/Sell rules.

Very sorry about this.

2

Will the results of AvgVol() be affected? It looks like it has the same issue and it is commonly used–although I think that there is no look ahead bias in it when used to find increasing volume i.e. AvgVol(10)/AvgVol(60).

3

AvgVol is ok