Loading request...
Add magnitude move barriers to the Tripple-Barrier method, not determined by percentage moves, for example, a 10 cent move. This is useful for spreads between instruments where percentage moves don't make sense.
Tripple-Barrier extension suggestion: Add magnitude move barriers not determined by percentage moves, for example, a 10 cent move. Say you are interested in some spread between two or more instruments. This spread can be positive, negative or even zero. The percentage moves don't make sense here. A quick fix would be to convert your spread to the dollar value invested since inception, a la etf trick. However, sometimes the absolute magnitude of the move is of interest. Another practical example in the futures space would be something like a limits up/down filter for events.