StockFetcher Forums · Filter Exchange · Volatility Direction<< >>Post Follow-up
TheRumpledOne
6,362 posts
msg #41599
Ignore TheRumpledOne
2/27/2006 7:37:32 AM

Fetcher[
/* Volatility Direction Filter Display */

set{BBDiff, Upper Bollinger Band(20) - Lower Bollinger Band(20) }

set{BBDb,days(BBDiff is above BBDiff 1 day ago,100)}
set{BBDa,days(BBDiff is below BBDiff 1 day ago,100)}
set{BBTrend, BBDa - BBDb}

set{ATRb,days(ATR(14) is above ATR(14) 1 day ago,100)}
set{ATRa,days(ATR(14) is below ATR(14) 1 day ago,100)}
set{ATRTrend, ATRa - ATRb}

AND ADD COLUMN BBTrend
AND ADD COLUMN ATRTrend

/* SELECTION CRITERIA */

BBDiff is below BBDiff 1 day ago
ATR(14) is below ATR(14) 1 day ago

Close above 1

avg vol(5) above 1000000
avg vol(30) above 1000000

add column industry

sort column 6 ascending
]



Got the idea from SFO March 2009 Page 82.

If both ATR and Bollinger Band are decreasing then volatility is decreasing... prelude to breakout.

MAY ALL YOUR FILLS BE COMPLETE.


alf44
2,025 posts
msg #41604
Ignore alf44
2/27/2006 10:56:37 AM

I like it...in theory !

Range Contraction !

Howz about adding some criteria to find NR4s or NR7s or BOTH ?


Regards,

alf44



alf44
2,025 posts
msg #41606
Ignore alf44
2/27/2006 1:05:37 PM

"If both ATR and Bollinger Band are decreasing then volatility is decreasing... prelude to breakout."

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

The thing to keep in mind though is that the "breakout" can be in EITHER direction. imo

Here is the filter with an NR7 condition added...and also the Price criteria is upped to screen for stocks ABOVE $10 ! This is necessary if you are looking for stocks to play LONG or SHORT...depending on the direction of the "breakout" !

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

Fetcher[/* Volatility Direction Filter Display */

set{BBDiff, Upper Bollinger Band(20) - Lower Bollinger Band(20) }

set{BBDb,days(BBDiff is above BBDiff 1 day ago,100)}
set{BBDa,days(BBDiff is below BBDiff 1 day ago,100)}
set{BBTrend, BBDa - BBDb}

set{ATRb,days(ATR(14) is above ATR(14) 1 day ago,100)}
set{ATRa,days(ATR(14) is below ATR(14) 1 day ago,100)}
set{ATRTrend, ATRa - ATRb}

AND ADD COLUMN BBTrend
AND ADD COLUMN ATRTrend

/* SELECTION CRITERIA */

BBDiff is below BBDiff 1 day ago
ATR(14) is below ATR(14) 1 day ago
Close above 10
Day Point Range reached a new 7 day low

avg vol(5) above 1000000
avg vol(30) above 1000000

add column industry

sort column 6 ascending
]



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



Regards,

alf44




TheRumpledOne
6,362 posts
msg #41611
Ignore TheRumpledOne
2/27/2006 7:02:08 PM

"The thing to keep in mind though is that the "breakout" can be in EITHER direction."

That's the point!

This filter gives you a "heads up - breakout on the horizon" signal.




alf44
2,025 posts
msg #41616
Ignore alf44
modified
2/27/2006 11:57:39 PM

TRO,

I just wanted to reinforce the point that...in the context of a "Range Contraction" period...aka...a period of diminishing volatility...as witnessed by...shrinking "Average ATR values or Bollie Bands"...OR..."Narrow Range Days" (ie. NR4s, NR7s, Inside Days etc...)

---> you MUST be prepared to "play the breakout" EITHER WAY...LONG or SHORT !!!

Often, people think "breakout" (the term YOU used in your original post) as meaning a "breakout to the UPSIDE" !

That AIN'T necessarily so !

Good chart reading skills can definitely give you a trading bias...BUT...during these periods of Range Contraction...the moves can definitely go EITHER WAY !

So...like a Boy Scout...Be Prepared !!!

And don't be afraid to go with the price movement...UP or DOWN !!!

All in my opinion of course !



Regards,

alf44



StockFetcher Forums · Filter Exchange · Volatility Direction<< >>Post Follow-up

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