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Chart spike filter?

  • #1
  • First Post: Apr 10, 2010 4:44pm Apr 10, 2010 4:44pm
I was wondering if anyone has coded a filter to handle or disregard chart/bar spikes that aren't indicative of a real price move? I'm not looking for programming help - I'm just interested in knowing how others might deal with these situations in their algos. For example, how do you quantify the difference between a bogus spike vs. a news release?
  • #2
  • Apr 10, 2010 4:52pm Apr 10, 2010 4:52pm
Quoting Jwv
I was wondering if anyone has coded a filter to handle or disregard chart/bar spikes that aren't indicative of a real price move? I'm not looking for programming help - I'm just interested in knowing how others might deal with these situations in their algos. For example, how do you quantify the difference between a bogus spike vs. a news release?
i think you may set a limit for pip difference between bid and ask for entry and even exit
  • #3
  • Apr 10, 2010 5:10pm Apr 10, 2010 5:10pm
spikes have the following characteristics IMO:

 

  1. Wide spread
  2. creates a large wick
  3. Lasts for less than a minute.

News events

 

  1. wide spread
  2. market generally moves in one direction.
  3. trading resumes after the news event usually at a different level.


Now, there is no absolute difference between a spike and a news event, sometimes they're the same. My current spike filter isn't terribly accurate, but then again, it's hard to make money on a spike.

  • #4
  • Apr 10, 2010 5:33pm Apr 10, 2010 5:33pm
Quoting Ronald Raygun

News events

 

  1. wide spread
  2. market generally moves in one direction.
  3. trading resumes after the news event usually at a different level.

Thanks RR,
Yeah, I think maybe #3 might be the tell (distance of bar close). The only problem with that is you have to wait for the bar close to determine weather or not to act. I'll try to attach a pic of last weeks NFP - my system caught the majority of the move which was good, however, had this been an erroneous spike i would not have wanted it to act on it.
Attached Image (click to enlarge)
Click to Enlarge Name: spike.gif Size: 10 KB
  • #5
  • Apr 10, 2010 8:26pm Apr 10, 2010 8:26pm
There are different opinions about what constitutes a spike. One person's spike is another person's Pin Bar or gapping move. I think the defining characteristics are the wick sizes and bar height. When you are coding you need to allow flexibility in the spike definition, so make them settings that can be changed. And don't forget, your own definition of a spike might be different in a month's time.
  • #6
  • Last Post: Apr 10, 2010 8:45pm Apr 10, 2010 8:45pm
This book has a whole chapter on how reliable filtering it's really done:
http://books.google.com/books?id=16x...page&q&f=false

Hint: it's a very complicated problem to do fully automatically. But they do provide all the information you need to implement it.
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