I'm pretty good at making models, but probably not that good ![]()
Date 12/29/2016
There was no volume for that stock back in 2016 and the prices are all over the place. Interactive Brokers shows the same junk data. You should add a liquidity rule to either the Buy rules in your strategy or the universe you are using. A tiny liquidity rule AvgDailyTot(20) > 5000 prevented it from buying that ticker in a test I ran. Using liquidity rules was always important, but it is more important now that we added coverage for a large number of microcaps in last weekends release.
Ok gotcha, thanks. I do have a liquidity rule but guess i needed a shorter term on. I'll try this out.
Just to be clear so I don't lead you down the wrong path... I used AvgDailyTot(20) > 5000 as a quick test. In my live strategies I usually use 2 rules like the ones below.
LoopMin("AvgDailyTot(10,CTR)",5,0,10) > 20000
MedianDailyTot(65) > 50000
The first rule requires some liquidity in each of the last five 2 week periods. This eliminates any where the volume is very inconsistent.
The second rule uses a higher limit and requires that the median liquidity over the last 65 trading days is sufficient for my needs.
Ok, thanks for the additional tips ! Good to know.