StockFetcher Forums · Filter Exchange · Trading on above average volume AND above average ATR<< >>Post Follow-up
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

dwiggains
391 posts
msg #72341
Ignore dwiggains
3/9/2009 4:53:50 PM

Hi
Try this for a start

Fetcher[
set {range, atr (1) / atr (20)} add column range and range > 2
set {vol, volume / average volume (90)} add column vol and vol > 3
and close > 1 and average volume (90) > 500,000
]



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

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

dwiggains
391 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



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

StockFetcher Forums · Filter Exchange · Trading on above average volume AND above average ATR<< >>Post Follow-up

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2016 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus