Does anybody know how to code for a CPI-adjusted liquidity filter when backtesting using metastock/tradesim?
There was some discussion the other day, i brought up the point that a $10 price filter would not be as restrictive as it was during backtesting when you think about the future going forward, and equities as growing businesses/companies where the ones that survive are usually the ones that prosper.
A logical extension of this as another member highlighted would be the same problem with liquidity. Since liquidity or money flow is a function of the stock price a liquidity filter wouldnt be as restrictive now as it was, say 10years ago.
So a CPI-adjusted liquidity filter would be an interesting idea, since i can recall, somebody mentioned that there were 42-odd companies in 1997 with liquidity>$500,000 and about 200 companies today.
Any thoughts, ideas, discussion, would be much appreciated.