I have also criteria based on average volume, but still I'd prefer to check the lowest volume days. And if in our lookback period there are weeks with 3 trading days (like around Xmas), even average could be affected.
On Sun, Apr 17, 2016 at 2:23 AM, brandon.richard03@yahoo.com [amibroker] <amibroker@yahoogroups.com> wrote:
May be easier to just create some criteria based off a volume average or dollar average volume. Theirs probably no statistical significance to the lowest value in 20 days compared to having an average that weeds out anything you think may cause a liquidity issues.
I'm all for learning new AFL ideas myself but just thinking you may find the same results looking at it in a different way.
Marcin Jagodziński
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