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Strategies & Market Trends : Systems, Strategies and Resources for Trading Futures
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To: Brian Hornby who wrote (19670)3/30/1999 12:38:00 PM
From: Patrick Slevin  Read Replies (1) of 44573
 
I cannot look at it right now but I do use ZScore.

But I don't think that's it. What happens with Reuters, particularly lately, is that they have been "correcting" past data so my models re-calculate as far far back as Reuters corrects.

Recently it's often been as much as three days. The astounding thing is that the following day they sometimes correct back 3 days once again on the same instrument. So the models go SNAFU.

I would like to blame the models but it only started once Reuters started sending corrupt data.
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