You will probably not like this solution either, but: First I created several Explorations that looked for extremes in low or high of the May 6th prices - like Filter = high > 1.6 * close etc. Second I imported the Exploration results into Excel and hand corrected the problem prices. Third I saved the results as a clear text file, then edited the file to make the following script.
$BREAKONERR $FORMAT TICKER,DATE_MDY,OPEN,HIGH,LOW,CLOSE $OVERWRITE 1 $SEPARATOR, $STRICT IHF,05/06/10,49.36,50.3,48.5,48.76 KXI,05/06/10,56.39,57.95,56,56.22 VHT,05/06/10,54.68,54.88,53.2,53.41 BVL,05/06/10,10,10.3,8,9 PHO,05/06/10,17.41,18,16.8,17.02 FDV,05/06/10,21.17,21.2,20,20.78 RHS,05/06/10,53.46,53.46,51,51.85 RXI,05/06/10,46.03,46.68,44,44.68 MDD,05/06/10,26.3,29.54,25,26.04 Finally I Imported the script into AmiBroker which fixed things up. Yep it was ugly - I fixed several hundred stocks this way. Now my indicators stopped blowing up. ReefBreak --- In [email protected], "wavemechanic" <olesmi...@...> wrote: > > I'm sure that you will not like this answer. The exchanges cancelled all > trades on May 6th between 2:40 and 3:00 that were > 60% above or < 60% below > the last print at 2:40 (I'm sure you can find the exact wording on the > exchange website). These changes should have been made in all databases. As > a result, by definition the data left after these adjustments are correct and > will not be further adjusted by the exchanges or data suppliers. As an > example, after the flash crash I know that ACN showed a low of 0 but after > the 60% rule was applied the low was back in the mid-teens. The symbols that > were adjusted in this manner are listed in the attached pdf. I guess this is > the equivalent for trading systems/methodologies of stress testing banks with > all of the required politics and subjectivity ;-) > > Bill > > > > ----- Original Message ----- > From: Richard > To: [email protected] > Sent: June 29, 2010 5:24 PM > Subject: [amibroker] May 6th Solution > > > As most of you are aware May 6, 2010 had some extremely erroneous data > gyrations. Consequently ones database gives questionable results. What is > the best solution to this problem? I tried to reload but the data provider > hasn't corrected his database. Would it be best to just delete that date? > If so how would be the beat way to accomplish? > > Dick H > > > > > ------------------------------------ > > **** IMPORTANT PLEASE READ **** > This group is for the discussion between users only. > This is *NOT* technical support channel. > > TO GET TECHNICAL SUPPORT send an e-mail directly to > SUPPORT {at} amibroker.com > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at > http://www.amibroker.com/feedback/ > (submissions sent via other channels won't be considered) > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > Yahoo! Groups Links >
