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Beschreibung
Filter out extreme values which are assumed to be spurious because of their extremity.
As requested by Jessica Stauth on Quantopian forums, https://www.quantopian.com/posts/feature-requests-what-changes-would-you-like-to-see
Quoted from that post:
- add an option to 'winsorise' returns for outlier handling - a notorious issue with backtests is hidden outliers in returns data - sometimes they are obvious, you trade a stock and it makes 10,000% in 1 day (oops pricing error, currency issue etc) - but sometimes these errors can be hidden. Winsorizing your returns data allows you to set sanity bounds on what returns you think a stock can achieve, so you might say, clip my returns data at -99% and + 2 standard deviations from the mean returns for that time period. Better explained here: http://en.wikipedia.org/wiki/Winsorising