jhenninger
63 posts
msg #72290
- Ignore jhenninger |
3/9/2009 12:52:41 PM
Hello all,
I'm currently in the process of putting together a very simple screen that looks for 'impulsive moves'; the type that occur on above average volume AND above average true range (looking for increased participation combined with increased volatility). Anyone have any insight into how I should model this? I imagine that it is relatively straightforward but I haven't had any luck in constructing my own so I thought I would venture out to ask the other SF experts.
Many thanks in advance,
- Jon
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dwiggains
444 posts
msg #72341
- Ignore dwiggains |
3/9/2009 4:53:50 PM
Hi
Try this for a start
If you only want the days when the close is up then just add
close > close 1 day ago
I have played with ATR and Volume a lot.
I have not been able to get anything I am real happy with.
See ya
David
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jhenninger
63 posts
msg #72346
- Ignore jhenninger |
3/9/2009 8:36:38 PM
Thanks for the response David. Appreciate it.
However, I'm not very good with SF code and I'm not entirely sure what that specific screen is looking for. All I am really hoping for is something that is able to find, say a group of stocks that managed to trade on 50% greater volume (increased relative participation) than their average over the past 30 days PLUS 50% greater daily range (increased relative range expansion/volatility) compared to the last 30 days. I consider these to be 'impulse' moves, and if they can be succesfully found I think the trading opportunities that could potentially arise from them should be quite healthy.
Since you have worked a lot with volume and ATR, do you think something that is seemingly as simple as that is possible?
Thanks again
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dwiggains
444 posts
msg #72347
- Ignore dwiggains
modified |
3/9/2009 10:17:59 PM
Hi
To get what you want change range > 2 to range > 1.5
then change vol > 3 to vol > 1.5
Let's go through the filter line by line
set {range, atr (1) / atr (20)} add column range and range > 2
This says the atr for today is divided by the atr for the last 20 days and only except the values above 200%
set {vol, volume / average volume (90)} add column vol and vol > 3
This says the volume today is divided by the average volume over the last 90 days and only except the values above 300%
The last line is just close price and volume. To take away penny stocks and stocks that have little volume.
You can change my numbers to fit 30 days for more or less volume.
Just take one of mine lines and copy and paste. Then play with the numbers until you get what you want.
Trust me I am not very good at this. Just play around.
Read others filters.
Good Luck
See ya
David
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jhenninger
63 posts
msg #72350
- Ignore jhenninger |
3/10/2009 7:53:35 AM
Thanks again David. I'll give it a run-through today and see what I can come up with. Appreciate the help and the generous explanation.
Happy Trading,
- Jon
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