In the process of looking into why CNU:CN’s prices were occasionally dropping to $0.01 and then rising back up to $100 or more, we discovered a nasty little pricing bug. For some stocks, on days on which there were no trades, prices would be filled in depending on the bid and ask, so if there was a bid at $0.01 for a stock worth $100, that would be the closing price. Tonight this bug will be fixed, and if there were no trades for a stock on a certain day, the stock will remain at the previous close.
This may cause some of your backtested results to change, especially if you included very thinly traded stocks. But it should also reduce some of the jumpiness in your results.