StockFetcher Forums · Filter Exchange · Fat Fingers<< >>Post Follow-up
macer
22 posts
msg #61580
Ignore macer
4/18/2008 9:53:20 AM

I would like to produce a filter that catches large orders filled at the wrong price. I donít know how realistic it is to call them mistakes but thatís what they look like.

The stocks Iím looking for usually have a large gap up then a correction back to a more sensible level, here are some recent examples:

Fetcher[
apply to symlist(ZZ)
date offset is 04/09/2008
]



Fetcher[
apply to symlist(AGEN)
date offset is 04/08/2008
]



I think itís essential that

* the gap is against the medium term trend of the stock.

* open to close moves with a above average range towards the average current price level.

My entry would be the next day at the previous days close.

Does anyone have any constructive criticism on this approach or would anyone like to take a pop at a filter.

macer


dwiggains
391 posts
msg #61584
Ignore dwiggains
modified
4/18/2008 10:59:05 AM

Hi
This filter produces "black bars" close is up and close is below open.

Fetcher[
Open > 9% above close 1 day ago and close < open and close > 1 and volume > 200,000
]



See ya
David

macer
22 posts
msg #61591
Ignore macer
4/18/2008 11:35:33 AM

Do you think there is any merit in identifying ďblack barsĒ? Do you think this is a good short term indication of the stocks direction?

Iím not sure if the 9% statement is working some of the results look suspect to my eye.

I thought of maybe using something like open above BB(20,4) as a measure of volatility from the current price range.

Fetcher[
open > Upper Bollinger Band(20,4)
Open > 9% above close 1 day ago
and close < open
and close > 1
and volume > 200,000
]



I would also like to include something to filter out stocks that didnít range, maybe something with ATR.

Fetcher[
set{myrange, open - close}
myrange > atr(10)
Open > 9% above close 1 day ago
and close < open
and close > 1
and volume > 200,000
]



What ya think?



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