StockFetcher Forums · Filter Exchange · measure of price spike history<< >>Post Follow-up
tradewiz
7 posts
msg #79193
Ignore tradewiz
9/14/2009 2:16:27 PM

hi folks,

i am trying to look for stocks which has a history of daily/weekly/monthly price change more than X times of its standard deviation of log price change suggests for the corresponding period. here is how i come up so far:

set{logchange, log( close today divided by close 1 day ago)}
set{sd_logchange, standard deviation(logchange, 20)}
set{sd_price, close today multiply sd_logchange}
set{pricechange, close today minus close one day ago}
set{spike, pricechange divided by sd_price one day ago}
add column spike

what's next is to count in the past 250 days how many times a stock has daily price spike more than 2? how can i accomplish this in SF?


chetron
2,817 posts
msg #79244
Ignore chetron
9/14/2009 7:17:54 PM

CLICKABLE................


Fetcher[
set{logchange, log( close today divided by close 1 day ago)}
set{sd_logchange, standard deviation(logchange, 20)}
set{sd_price, close today multiply sd_logchange}
set{pricechange, close today minus close one day ago}
set{spike, pricechange divided by sd_price one day ago}
add column spike

]



chetron
2,817 posts
msg #79247
Ignore chetron
modified
9/14/2009 8:25:14 PM

FOR THE BASIC...............


Fetcher[
SET{VARA,CLOSE 1 DAY AGO}
SET{VAR1,close / VARA}
set{logchange, log(VAR1)}
set{sd_logchange,cstddev(logchange, 20)}
set{sd_price,close * sd_logchange}
set{pricechange,close - VARA}
SET{VARB,SD_PRICE 1 DAY AGO}
set{spike, pricechange / VARB}

add column spike
DRAW SPIKE
CLOSE ABOVE .1



]





FOR THE ADVANCED.........
OOPS....

BECAUSE OF THE MATH, YOU NEED AN ADVANCED SUB TO SEE COUNT....

Fetcher[
SET{VARA,CLOSE 1 DAY AGO}
SET{VAR1,close / VARA}
set{logchange, log(VAR1)}
set{sd_logchange,cstddev(logchange, 20)}
set{sd_price,close * sd_logchange}
set{pricechange,close - VARA}
SET{VARB,SD_PRICE 1 DAY AGO}
set{spike, pricechange / VARB}

SET{SA2,COUNT(SPIKE ABOVE 2,100)}

add column spike
ADD COLUMN SA2
DRAW SA2
DRAW SPIKE
CLOSE ABOVE .1


]



tradewiz
7 posts
msg #79255
Ignore tradewiz
9/14/2009 10:18:20 PM

thanks for the help. but doesn't seem like you can add a column where the variable is a count.

StockFetcher Forums · Filter Exchange · measure of price spike history<< >>Post Follow-up

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