Handling Bad Data in an Amibroker Backtest
By Dave Mabe
Here's an unfortunately common situation when backtesting across all symbols.
See this daily chart of ALT from September 2010:
This is classic bad data coming from the data feed.
You'll see similar wonkiness from all providers.
OK, so this is a pretty obscure stock with very little volume during this period - who cares?
Well, bad data like this has a habit of coming up in backtests in the form of trades.
Often they show up as outliers - either a crazy large winning or losing profit.
When optimizing a strategy, this is a big problem because they skew your process when you include them in your backtest.
Excluding them is really important.
I created a video showing how to identify and confirm that the data is bad and exclude it using Amibroker.
-Dave
P.S. Wish you could backtest your ideas - without spending months learning to code? Run your first backtest in an afternoon using my Amibroker AFL Course.