StockFetcher Forums · Filter Exchange · 20-day steady trends, up or down<< 1 2 3 >>Post Follow-up
heise
11 posts
msg #40991
Ignore heise
2/5/2006 10:36:33 AM

I am trying to find/write a filter to find individual stocks that are optionable and with the following characteristics: Very gradual, but steady, trend up (or down) for 20 consecutive trading days and with a history of more volatility during the time period prior to the past 20 days. One chart example would be Rambus (RMBS) during the month of December 2005 -- if you check it out, you can see the decent price volatility during September, October, and November 2005 followed by the steady and very low daily range decline in December.

The trading application for me is longer term swing trading using options straddles and strangles. I am looking for an edge in volatility skews beyond what I get from volatility scans such as that available from "ivolatility.com" and others like it. Also, I've found I can achieve improved entry into hedged ("delta-neutral") positions with stocks of the above characteristics with less risk. In the RMBS example, a straddle or strangle placed at the end of December would have been a home run in January 2006.

The approach being done by alf44 in the contraction/expansion filters thread seems to be a similar approach for this, but I am new to Stock Fetcher and don't have the skills right now to write what I want to accomplish. I surely will appreciate input in this thread and will help others in return as I am able.


alf44
2,025 posts
msg #40996
Ignore alf44
modified
2/5/2006 4:58:50 PM

Hmmmmm...a riddle wrapped in a conundrum...

"heise"...that's an interesting filter challenge.

--------------------

I'm knocking a few ideas around...


Slope...for the "trending" criteria !

ATR... for the "volatility" criteria !

--------------------

I will try to post something soon.

Meanwhile, hopefully some of the other SF users will take a shot at it.


Regards,

alf44


PS. Give a few other examples...other than the RMBS chart (if you have any).



heise
11 posts
msg #41014
Ignore heise
2/6/2006 1:29:46 PM

alf44,

Thanks for the response and interest. As long as the riddle wrapped in a conundrum is not contained inside a puzzle clouded by an enigma, maybe we have a chance.

Here are some other examples:

IDEV: In fact, I have a straddle working on it with the 07Jan5C and 07Jan5P. The cost of both positions was $2.45. The type of trend I am looking for to enter the trade has been a gradual trend over the past 13 days (a bit short of the 20 days) and the price range from Oct 05 to early Jan 06 was approximately $2.5 to $6. So, I will be profitable for sure if the price goes above $7.45 or below $2.55 during the next 11 months.

KEA: Look at the past six months. There is a pretty quiet uptrend from late Nov 05 to late Dec 05. There is also a pretty quiet, steep uptrend going on for the last 13 days as well. The range of the stock during the past six months was about $35 to $48.

A different time period for RMBS was from mid Aug 05 to early Sep 05. In fact this one would be a model for the low volatility down movement over 20 to 30 days. As a matter of fact, I had RMBS short at that time with a $12 entry and was looking good down through $10 until the quick bounce up in Sep where I covered and gave up my $2 gain.

Hope that helps give you a better picture of what I am looking for. By the way, IDEV is scheduled to come out with quarterly earnings within the next 10 days. That will likely move the price one way or the other, increasing the price of the both options by volatility pricing as well as one of them up through intrinsic value. I like the straddle here. If nothing happens, I can leave the position pretty much at the price of slippage (which isn't small -- about 20%).

Thanks again for your interest and support.

heise


alf44
2,025 posts
msg #41016
Ignore alf44
2/6/2006 1:57:23 PM

KEA ???

Are you sure of that symbol ?

It doesn't seem to jive with the share price you posted !


Regards,

alf44




alf44
2,025 posts
msg #41019
Ignore alf44
2/6/2006 3:16:29 PM

...also...

...the charts for RMBS and IDEV (for the time span(s) you refer to) don't appear that similar to me !

The RMBS chart (in the 20 or so days leading up to Dec 30 '05) before the UP move...was in a sideways consolidation phase. In fact, that whole period (19 days) was contained within the Range of the Dec 2 '05 Candle. You can see the Bollinger Bands really "pinch" in nice and tight just before the Breakout around Dec 30. Further evidence of the contracting volatility in that period of time ! The 20 days (or so) that preceeded the "consolidation phase" WAS a "quiet uptrend" as you call it. fwiw


The IDEV chart does NOT have the same appearance as the RMBS chart.

Starting in mid Oct '05 there is a nice UP move that topped with the Nov 9 '05 doji Candle...followed by a fairly sharp 5-6 day reversal...some consolidation...and an eventual re-test of Support (from the mid Sept '05 area). Then a move UP from there to NEW HIGHS...peaking at around Jan 10 '06...and a pullback since then that has taken it back down to a re-test of Support at the previously mentioned Nov 9 '05 peak ! And that's where IDEV is now ! In the process of re-testing that previous Nov 9 HIGH (which is NOW a "possible" area of natural Support) !

Just trying to get a better idea of the situations and circumstances that BEST describe what YOU are seeing that makes YOU initiate a Straddle/Strangle on the chart examples you are giving.

Any further info (clarification) you can provide...would be appreciated !


Regards,

alf44





nikoschopen
2,824 posts
msg #41033
Ignore nikoschopen
modified
2/6/2006 7:10:08 PM

Fetcher[
count(gap above 10%,40) equals 0
set{hi20, high 20 day high}
set{lo20, low 20 day low}
set{lo60, low 40 day low 20 days ago}

set{diff, hi20 - lo20}
set{diff%, diff / lo20}
set{%diff, diff% * 100}
%diff is below 4

set{lodiff, lo20 / lo60}
lodiff above 1.1

stocks are optionable
and chart-time is 6 months

add column hi20
add column lo20
add column lo60
]






alf44
2,025 posts
msg #41034
Ignore alf44
2/6/2006 8:18:33 PM

niko,

So your filter basically finds stocks that are UP...at least 10% from their Low...40 days ago...and that have since traded in a sideways range of less than 4% above their 20 day Low ?

Is that correct ? tia


Regards,

alf44




alf44
2,025 posts
msg #41031
Ignore alf44
modified
2/6/2006 9:07:00 PM

Well...

Here is a first effort !

This simple filter is very selective and as such can go a few days without ANY hits.

What it seeks to do is find stocks that have had "20 day steady trends"...either UP or DOWN !

It uses an ADX(14) for this. The ADX is perfect for this as it measures "trendiness"...and doesn't concern itself with direction.


Then...after these "steady trends" (as defined by the ADX) the stocks either formed Tops...Bases...or, Consolidated...for some period of time !

During this "Top"..."Base" or "Consolidation"...Range and Volatility has contracted significantly !

It uses Bollinger Bands for this...and in particular the "narrowing of the Bollinger Bands" (ie. Bollinger Width)!

---------------------

Fetcher[/* "heise 20-day steady trends, UP or DOWN" EXPERIMENTAL Filter */

Show stocks where

ADX(14) 20 days ago has been increasing for 20 days and
Bollinger Width(20) has reached a new 3 Month Low and
Stock is Optionable and
Price is between 2 and 400

draw Bollinger Bands(20)
draw ADX(14)
draw RSI(14)

date offset is 24
]



-----------------------

I have the date offset at 24 to illustrate the RMBS situation ! Obviously, after today that number will need to be adjusted accordingly !

If you spend some time clicking through the charts (I have gone back 100 days to present) I think you will see a great number of stocks that seem to set up...much like the RMBS example of Dec 30 '05...but also...some that have been trending DOWN...formed a "base" and turned UP UP UP...and some that have been trending UP...formed a "top" and turned DOWN DOWN DOWN !


Regards,

alf44


-------------------

<<edit>>

This is the same filter but with Bollinger Width at a 1 Month Low !

It seems to produce MORE hits than the "above version" I originally posted (ie. Bollie Width 3 Month Low)...and doesn't appear to compromise the criteria that I set out to achieve !

--------------------


Fetcher[/* "heise 20-day steady trends, UP or DOWN" EXPERIMENTAL Filter */

Show stocks where

ADX(14) 20 days ago has been increasing for 20 days and
Bollinger Width(20) has reached a new 1 Month Low and
Stock is Optionable and
Price is between 2 and 400

draw Bollinger Bands(20)
draw ADX(14)
draw RSI(14)

date offset is 24
]



-------------------

Check out date offsets of between 80 and 70 (and work your way forward) to see some nice examples of stocks in DOWN Trends...that were picked up by this filter !




nikoschopen
2,824 posts
msg #41039
Ignore nikoschopen
2/6/2006 9:19:59 PM

Alf,

Ure right on the mark. If I understood the poster's request correctly, s/he wanted volatility ( > 20) prior to a cooling off period ( < 20). For volatility, I assumed any stock that can move 10% or more in 40 days is volatile enough.


alf44
2,025 posts
msg #41040
Ignore alf44
2/6/2006 9:27:56 PM

niko,

Nice approach !

But MINE finds stocks that have moved UP or DOWN...and then were followed by a "cooling off period"...or, a contraction in Range and Volatility !

YA-YA...YA-YA-YAAA !!!

LOL


Regards,

alf44




StockFetcher Forums · Filter Exchange · 20-day steady trends, up or down<< 1 2 3 >>Post Follow-up

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