Recent futures data surprises
Posted: Sat Jul 25, 2009 11:16 am
I find it useful to run programs that look at my downloaded data and notify me of "surprises". Occasionally these surprises turn out to be actual errors in the data, but most often the data is correct and the software is merely noticing Unusually Big Moves in price. There's a free download for Blox customers called "Futures Data Investigator" that performs a large number of checks for these kinds of things, at viewtopic.php?t=3993
Here are some data surprises that I've noticed recently:
Here are some data surprises that I've noticed recently:
Code: Select all
2009/07/22 MNA Suspicious daily low; range = 3.65 ATRs
2009/07/10 NGL Abnormally tall bar; range = 3.90 ATRs
2009/07/08 SY Abnormally tall bar; range = 4.31 ATRs
2009/07/08 HY Big gap down; range today = 3.67 ATRs
2009/07/08 EJ Big gap down; range today = 3.98 ATRs
2009/07/06 OJ Abnormally tall bar; range = 4.35 ATRs
2009/06/24 SS Big gap up; range today = 4.76 ATRs
2009/06/24 RZ Big gap up; range today = 11.25 ATRs
2009/06/19 LRC Abnormally tall bar; range = 4.43 ATRs
2009/06/05 TU Abnormally tall bar; range = 5.75 ATRs
2009/06/05 FF Abnormally tall bar; range = 5.92 ATRs
2009/06/05 ED Abnormally tall bar; range = 5.18 ATRs
2009/06/04 FEI Abnormally tall bar; range = 3.58 ATRs
2009/06/01 SY Big gap up; range today = 4.03 ATRs
2009/06/01 SS Big gap up; range today = 3.60 ATRs
2009/06/01 FC Abnormally tall bar; range = 3.83 ATRs
2009/05/28 TU Suspicious daily low; range = 11.68 ATRs
2009/05/18 SIN Suspicious daily low; range = 6.01 ATRs
2009/05/18 QE7 Abnormally tall bar; range = 5.24 ATRs
2009/05/15 QE7 Abnormally tall bar; range = 3.70 ATRs
2009/05/07 SSI 5 days without price data, prev= 20090501
2009/05/07 SJB 5 days without price data, prev= 20090501
2009/05/07 JTI 5 days without price data, prev= 20090501