StockFetcher Forums · Filter Exchange · lession #6- finding stocks ready to make big moves<< 1 2 >>Post Follow-up
MARY4MONEY
806 posts
msg #78634
Ignore MARY4MONEY
9/4/2009 3:04:28 PM

what you look for is the smallest atr and lowest volume over the last 5-10 days- maybe you guys can help me deveop a filter for this- say stock has the lowest volume and or smallest atr in last 5 days--lets give you some example- like jazz today where you could of made 1600% on the 10 calls from yesterday you can see this on 8-21 and 9-3 on jazz--PRICES

Date Open High Low Close Volume Adj Close*
3-Sep-09 7.08 7.17 6.96 7.01 376,400 7.01
2-Sep-09 7.46 7.49 6.94 6.96 752,500 6.96
1-Sep-09 7.24 7.78 6.91 7.27 2,029,500 7.27
31-Aug-09 7.05 7.57 6.83 7.29 1,655,500 7.29
28-Aug-09 6.97 7.30 6.75 7.07 887,700 7.07
27-Aug-09 7.07 7.09 6.65 6.80 970,700 6.80
26-Aug-09 7.15 7.44 7.01 7.14 1,489,400 7.14
25-Aug-09 6.56 7.47 6.50 7.05 4,403,900 7.05
24-Aug-09 6.39 6.85 6.23 6.52 2,013,100 6.52
21-Aug-09 6.31 6.47 6.20 6.28 510,900 6.28
20-Aug-09 6.46 6.55 6.27 6.30 509,200 6.30

you can see this on etfc on today and on 8-25--Date Open High Low Close Volume Adj Close*
3-Sep-09 1.55 1.55 1.48 1.51 44,265,200 1.51
2-Sep-09 1.47 1.56 1.45 1.49 80,491,200 1.49
1-Sep-09 1.74 1.75 1.49 1.50 191,202,300 1.50
31-Aug-09 1.70 1.94 1.61 1.76 332,270,500 1.76
28-Aug-09 1.62 1.69 1.52 1.64 344,085,900 1.64
27-Aug-09 1.43 1.48 1.37 1.45 98,618,700 1.45
26-Aug-09 1.35 1.42 1.34 1.40 59,137,300 1.40
25-Aug-09 1.39 1.39 1.34 1.35 26,536,000 1.35
24-Aug-09 1.43 1.44 1.36 1.37 46,124,900 1.37
whats happening is the selling is drying up

Kevin_in_GA
4,548 posts
msg #78641
Ignore Kevin_in_GA
9/4/2009 5:00:10 PM

Fetcher[

SET{DAYRANGE,HIGH-LOW}
SET{VOL1,VOLUME/AVERAGE VOLUME(10)}
SET{RANGE1,DAYRANGE/ATR(10)}
SET{RANGE_PCT,RANGE1*100}
SET{VOL_PCT,VOL1*100}

/*LOOK FOR STOCKS WITH LARGE NEGATIVE VOL1 AND LARGE NEGATIVE RANGE1*/

ADD COLUMN VOL_PCT
ADD COLUMN RANGE_PCT
SORT ON COLUMN 5 ASCENDING

CLOSE IS ABOVE 1
VOLUME IS ABOVE 100000

/*THIS SCREENS OUT PENNY STOCKS OR THINLY TRADED STOCKS - YOUR CHOICE TO DELETE*/

]



This provides for the largest percentage differences in volume and range, not necessarily the largest absolute difference. If you use this filter, you will get the largest absolute differences:

Fetcher[

SET{DAYRANGE,HIGH-LOW}
SET{VOL1,VOLUME - AVERAGE VOLUME(10)}
SET{RANGE1,DAYRANGE - ATR(10)}


/*LOOK FOR STOCKS WITH LARGE NEGATIVE VOL AND LARGE NEGATIVE RANGE*/

ADD COLUMN VOL1
ADD COLUMN RANGE1
SORT ON COLUMN 5 ASCENDING

CLOSE IS ABOVE 1
VOLUME IS ABOVE 100000

/*THIS SCREENS OUT PENNY STOCKS OR THINLY TRADED STOCKS - YOUR CHOICE TO DELETE*/

]






Kevin_in_GA
4,548 posts
msg #78642
Ignore Kevin_in_GA
9/4/2009 5:09:46 PM

Just occurred to me - today's volume will be artificially depressed because of Labor Day.

However, the filter still works fine. I might look at average volume(50) instead, since some of these have had explosive up volume days within the last two weeks that raise the average well beyond what it typically trades

donnelt
11 posts
msg #78666
Ignore donnelt
9/5/2009 4:14:55 AM


I thought high ATR was the buy signal and low ATR an exit signal?

mystiq
650 posts
msg #78667
Ignore mystiq
9/5/2009 4:22:16 AM

(-.-) what would be the ENTRY critiria ?...looking at the JAZZ chart, what would be the confirmation to "forsee" the big move up ? Thx

trendscanner
265 posts
msg #78668
Ignore trendscanner
modified
9/5/2009 7:39:12 AM

If we could figure out what the trigger for the big moves up are, we could definitely all get rich very quickly.

I don't know exactly what the upward trigger but agree with M4M that it's often after a low volume and low price movement day. Many of these big moves happen out of an extended, flat accumulation base. If you look at the price/volume charts for these stocks, you'll often see a number of high up volume days and many smaller down volume days, generally with little price movement.

The screen I run to look for these patterns is

Fetcher [
set{Inc, close - close 16 weeks ago}
set{delta, Inc/close 16 weeks ago}

slope of center Linear Regression(30,1.0) is between 0.0 and 0.005
OBV has been increasing over the last 4 days
Average Volume(60) is above 30000
close is between 1 and 20
delta above 0.3
]

(Not sure why this isn't showing up as clickable)

Sometimes it finds interesting patterns, like SLRY and CLRT, which both look like they're ready to move up, IMO. I haven't found a filter that would have picked up JAZZ

Adding the slope of center LR line element to Kevin's volume filter scan, you can find KERX and SLXP, which have similar basing patterns to JAZZ and might be worth watching.

Since many of the drug/pharma stocks seem to have these types of patterns, you can add things like

apply to Sector(MEDICAL)

to narrow down the choice list.

If someone figures out what the big move trigger is, please post it!

chetron
2,817 posts
msg #78670
Ignore chetron
9/5/2009 9:18:53 AM

clickable...
removed space.....

Fetcher[
set{Inc, close - close 16 weeks ago}
set{delta, Inc/close 16 weeks ago}

slope of center Linear Regression(30,1.0) is between 0.0 and 0.005
OBV has been increasing over the last 4 days
Average Volume(60) is above 30000
close is between 1 and 20
delta above 0.3
]




donnelt
11 posts
msg #78713
Ignore donnelt
9/6/2009 4:49:29 AM


It seems low or high ATR can issue a breakout, but in either direction. Perhaps in combination with an RSI or Williams index to flag over-sold might be a method of getting the direction.

decipherlinda
133 posts
msg #78750
Ignore decipherlinda
9/7/2009 12:45:11 PM

M4M, I stuck with ATR & volume although I looked for decreases rather than absolute ATR & volume data.

ATR(5) 30% < ATR(5) 5 days ago
and average volume(5) 15% < average volume(5) 5 days ago
and close > .9999
and volume > 100000

You'll have to copy/paste. Too tired and don't think it's too difficult. Results: (of 116 stocks)

1 stock at 82% increase 9/3 to 9/4 = 1%
8% at 5% + (less the one above) increase
9% at 4 to < 5% increase
12% at 2 to < 4% increase
51% at 0.04 to < 2 % increase
17% at zero to neg return on 9/4

The strongest return I discovered (after many hours but only 6 trys) in attempting to keep mostly within your parameters was:

ATR(1) has been decreasing for the last 2 days
and RSI(2) > RSI(2) 1 day ago
average volume(5) < average volume(5) 1 day ago
and close > .9999
and average volume(5) > 100000

set{A, ATR(1) / ATR(1) 1 day ago}
set{B, A - 1}
set{ATR1, B * 100}
add column ATR1
add column ATR1 1 day ago {ATR2}

add column RSI(2)
add column RSI(2) 1 day ago
set{RSIDif, RSI(2) - RSI(2) 1 day ago}
add column RSIDif

set{C, average volume(5) / average volume(5) 1 day ago}
set{D, C -1}
set{AV5, D * 100}

add column AV5

This brought up both Jazz and ETFC. Jazz was the strongest performer of all 666 stocks in % gain on 9/4.
All stocks were selected by running this filter 1 day ago (9/3/09) were up on the day.

There were 666 results with one or two not recognized by Watchlist so deleted them.

20 of the stocks were up 6% or more on 9/4 from 9/3. (3% of total)
7 of the 20 were up 11% +
39 were up 4 to < 6% = 39/666 = 5.9%
6.6% were up 3% to < 4%
About 28% were > 0.0 and < 3%
53% were zero or less
(Lists here don't total to exactly 100% due to rounding plus I treated this is a preliminary run so didn't get excited if not absolutely perfect.)

Most related to top performance:

A disqualifier: No single criterion predicted high performance.

6 of the top 20 ATR(1) % change from day before was > 40%
3 of the top 7 performers on 9/4 had 1 day ATR(1) drops of 45% or more
7 of the top 20 performers were priced $5 or less
6 were $5 to $10
3 were $10 to $15
4 were $15 + --> so there's a skew to cheaper stocks, which you've mentioned you like
7 of the top 20 performers on 9/4 had an absolute RSI(2) on 9/3 of 70 or higher

The % change in average volume(5) vs 1 day ago (9/3 vs 9/2) was > -18.0% for 6 of the top 20 performing stocks.

Summary:

Neither of the filters I built exactly matched your criteria in that (1) I looked for decreasing ATR & volumes and (2) I added RSI(2) to the second filter. I stuck with ATR because you asked for it and it takes into consideration gaps unlike day ranges. I don't even understand options so I tried to develop a filter that would capture JAZZ and ETFC on 9/3 -- which the second filter does.

The combination of attributes screened for in the second filter seemed to produce a better filter, if I understand your needs correctly.

Volume -- 13 of the top 20 had volume on 9/3 of < 1M, with 5 of them < 100K. Absolute vol on any given day didn't appear to be relevent even though a big drop in average volume(5) from one day to the next could be relevant (there were many that had big drops that were not in the top 20.

I also noticed that both ETFC and JAZZ had recently or were currently popping out of a Bollinger Band squeeze. I believe it was JAZZ that also had both an MA(20) and MA(50) that were increasing on 9/3. In both cases, RSI(2) turned positive on 9/3 so that appears to be a good indicator of an imminent upturn. JAZZ especially, if I remember right, was travelling slightly upward close to the top of the BBand.

The filter brought up 666 stocks on 9/3 which is too many and there was no clear indication without going extreme in this analysis to see if more stocks could be filtered out. With more time and effort, probably so. Anyway, the exercise added to my understanding.






chetron
2,817 posts
msg #78753
Ignore chetron
9/7/2009 1:19:10 PM

CLICKABLE....


Fetcher[


ATR(5) 30% < ATR(5) 5 days ago
and average volume(5) 15% < average volume(5) 5 days ago
and close > .9999
and volume > 100000

]



Fetcher[
ATR(1) has been decreasing for the last 2 days
and RSI(2) > RSI(2) 1 day ago
average volume(5) < average volume(5) 1 day ago
and close > .9999
and average volume(5) > 100000

set{A, ATR(1) / ATR(1) 1 day ago}
set{B, A - 1}
set{ATR1, B * 100}
add column ATR1
add column ATR1 1 day ago {ATR2}

add column RSI(2)
add column RSI(2) 1 day ago
set{RSIDif, RSI(2) - RSI(2) 1 day ago}
add column RSIDif

set{C, average volume(5) / average volume(5) 1 day ago}
set{D, C -1}
set{AV5, D * 100}

add column AV5

]



StockFetcher Forums · Filter Exchange · lession #6- finding stocks ready to make big moves<< 1 2 >>Post Follow-up

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