quantopian/zipline

Add option to filter data through Winsorisation

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#127 opened on 2013年4月5日

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説明

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:

  1. 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

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