StockFetcher Forums · General Discussion · Volatility contraction - price and volume<< >>Post Follow-up
cire0015
6 posts
msg #139177
Ignore cire0015
11/9/2017 9:26:37 AM

All,

I am trying to put together a new screen that identifies shares where the price action is neatly becoming less volatile over a certain timeframe accompanied by a reduction in volume compared to the average.

Does anyone have any ideas about how I might be able to code this screen?

Thanks very much
Eric

Kevin_in_GA
4,599 posts
msg #139191
Ignore Kevin_in_GA
11/9/2017 12:50:10 PM

Well you can use the Bollinger Bandwidth to screen for volatility contraction, and volume reduction is not hard to code.

Example -

Fetcher[
close above 5
average volume(20) above 250000

Bollinger Bandwidth(20,2) reached a new 20 day low
Average volume(20) decreasing for the last 4 days
]




StockFetcher Forums · General Discussion · Volatility contraction - price and volume<< >>Post Follow-up

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