StockFetcher Forums · Filter Exchange · historical volatility help<< 1 2 >>Post Follow-up
2,025 posts
msg #52143
Ignore alf44
6/11/2007 12:12:18 PM


Here is the 6/100 - 10/100 Historical Volatility Ratio Filter NOW with the "50 day HV reading of 40% or better" criteria added ! fwiw


Fetcher[/* Historical Volatility Ratio Calculation (compare a 6 day to a 100 day HV AND a 10 day to a 100 day HV) with a 50 day HV above 40% */

/* 6/100 Historical Volatility Check */
set{HistVol_6, Historical Volatility(6,1)}
set{HistVol_100A, Historical Volatility(100,1)}
set{HistVolRatioA, HistVol_6 / HistVol_100A}

set{HVRatioA, count(HistVolRatioA is less than .51, 1)}

/* 10/100 Historical Volatility Check */
set{HistVol_10, Historical Volatility(10,1)}
set{HistVol_100B, Historical Volatility(100,1)}
set{HistVolRatioB, HistVol_10 / HistVol_100B}

set{HVRatioB, count(HistVolRatioB is less than .51, 1)}

/* Check for BOTH Historical Volatility criteria to be met */
set{HVRatioAB, HVRatioA + HVRatioB}

Show all stocks where HVRatioAB is above 1

and Historical Volatility(50,1) is above 40

Average Volume(65) is above 1000000
Price is between 10 and 100

add column separator
add column separator
add column HVRatioA {vrat6_100}
add column HVRatioB {vrat10_100}
add column separator
add column HistVolRatioA {vrat610}
add column HistVolRatioB {vrat10100}
add column separator
and add column Historical Volatility(50,1) {histvol50}
add column separator
add column separator




7 posts
msg #52157
Ignore mistlethrush
6/11/2007 3:58:11 PM

Nice improvement. However, it is sorted on Volume. I wonder if you would consider one of the other columns a better indicator of the strength of the signal. What do you think?


StockFetcher Forums · Filter Exchange · historical volatility help<< 1 2 >>Post Follow-up

*** Disclaimer *** 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. does not recommend particular securities., 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