StockFetcher Forums · Filter Exchange · Bollinger Band Squeeze<< >>Post Follow-up
rrochon
117 posts
msg #31517
Ignore rrochon
3/26/2004 1:20:55 PM

Is there a filter that finds Bollinger Band Squeeze Breakouts? e.g. Stocks that have been traveling horizontal in a very narrow Bollinger Band for maybe a month and then break above the upper Bollinger Band(20). Looking for stocks that are above UBB first time today, after the month consolidation.

Dick


cegis
235 posts
msg #31520
Ignore cegis
3/26/2004 3:57:01 PM

Dick,

How 'bout somthin' like:

Fetcher[bollinger width(20) 20 days ago is greater than bollinger width(20)
and count(low is below lower bollinger band(20),20) is equal to 0
and count(high is above upper bollinger band(20),20) is equal to 1
and close is above upper bollinger band(20)
and volume 30 day low is greater than 100000
]



The first condition checks for a decreasing bollinger width (I'm not sure that's one of your requirements, but it sure does fit the "squeeze" definition...).

The second condition makes sure the low never went below the lower BB.

The third condition makes sure the high only crossed over the upper BB once, and by virtue of the fourth condition, that had to be during the last market session.

The last condition is a volume requirement I usually use. Modify to taste...

I did a VERY quick backtest on this, and it seemed that about as many went down over the next few days as went up. Can I ask what you would use to make entry choices based on the filter results?

HTH, and thanks,

C


rrochon
117 posts
msg #31546
Ignore rrochon
3/29/2004 6:49:06 PM

C,

I would use the buy if green for 15 minutes after open signal, like the Muddies, or the Slow Stoch (5,3) crossover, and keep tight 3% sell stops. Some stocks bounce when they hit the UBB and some just keep rising until they hit the upper LRI. Could use the Slow Stoch (5,3) for exit signal also.

Thanks for your work.

Dick


muddytraks
40 posts
msg #31548
Ignore muddytraks
3/29/2004 8:03:22 PM

Cegis, Im looking for a scan that will pick up stocks in a flag pattern. Is this possible? Thankyou


rrochon
117 posts
msg #31551
Ignore rrochon
3/30/2004 1:46:35 AM

C,

Please look at 3 and 6 month charts of MSSN and GDLS. This is the type of chart I am looking for, before the breakout. Narrow BB for 2 or 3 months to watch for close above UBB on higher volume.

What filter would find these?

Thanks,

Dick


cegis
235 posts
msg #31559
Ignore cegis
3/30/2004 9:34:54 AM

Dick,

I agree that these two stocks look like a quintescential BB squeeze, but they don't fit what you originally asked for. Here's what I see as the differences:

- You want a 2 month (or longer) BB trading range, not just 1.
- It's not that the price breaks the UBB for the first time today. It could have happened a FEW times during the 2 month BB range.
- From looking at these two charts, you're looking for HUGE volume on the break.

Here's the changes I propose:

A) Change the BB range check from 20 days to 40 (= 8 weeks ~= 2 months).
B) Allow the price to CLOSE outside [above OR below] the BBs 4 times or less during that period, not counting today's breakout.
C) Add a check for today's volume being at least 5 times the 40 day average.
D) Add a check that the BB range is less than 25% of the 6 month trading range.
E) Remove the "narrowing" BB range check.

Do these changes make sense to you, for what you're trying to accomplish? Are there any numbers (parameters) that should be changed? (If so, please refer to the condition [A, ..., E] you're talking about...)

Lastly, given the example above, do you think YOU can come up with the filter to accomplish this task? (It's not that different, really. Hint: you'll need the set{} command...) If you want to give it a shot and post the results (working or not), I'd be happy to take a look at it and give you feedback...

C


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