I am new to Python, so I haven't quite been able to fix it, but the cause seems to be the calculation of ATR for the symbol BTU on 2007-12-05. Using www.stockcharts.com I get an ATR(20) of around $30, which makes sense as the share price is around $800, so that's a normal daily move of 4%, which is high, but not ridiculous for late 2007. "Andreas F. Clenow has written a very unique book that provides a rare insight into how an actual CTA hedge fund manager trades. Backing up all his claims with hard research, he cuts right to the point and educates the reader about how the real value of trend-following futu re s trading is achieved and how to replicate the success of the major hedge funds. Following the Trend: Diversified Managed Futures Trading (Wiley Trading series) by Andreas F. Clenow.
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