StockFetcher Forums · General Discussion · How to indentify stocks which do not trade daily.<< >>Post Follow-up
Laxmimata
7 posts
msg #115247
Ignore Laxmimata
9/8/2013 9:20:57 AM

I am trying to write a filter to find out which stocks did not trade daily. Average volume does not help.

dwiggains
391 posts
msg #115249
Ignore dwiggains
9/8/2013 5:19:30 PM

Fetcher[
volume < 110
volume 1 day ago < volume
]



This may get you started

See ya
David

Kevin_in_GA
4,548 posts
msg #115250
Ignore Kevin_in_GA
modified
9/8/2013 7:43:00 PM

I try to avoid using average volume since one really big day can skew the results. Try this:

Fetcher[

set{liquidity, close*volume}
count(liquidity above 2000000,20) above 19
]



This will give you stocks that must have traded at least $2M in total value for each of the past 20 days. Obviously you can set the time frame and minimum liquidity to anything you like. I usually also add something like "close above 5" to avoid getting pennies or hurt on the bid/ask spread.

EDIT: Ooops - you wanted stocks that DID NOT trade daily. Well, this will tell you what to eliminate. Or reverse it like this:

Fetcher[
set{liquidity, close*volume}
set{daysnottraded, count(liquidity below 0.01,20)}
daysnottraded above 1
add column daysnottraded
sort on column 5 descending
]



Remember also that there is a default setting in SF that will remove stocks with zero volume from your results (check to see if this is enabled in your settings).

StockFetcher Forums · General Discussion · How to indentify stocks which do not trade daily.<< >>Post Follow-up

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