StockFetcher Forums · General Discussion · high volatility filter?<< >>Post Follow-up
jota2123
2 posts
msg #37535
Ignore jota2123
8/19/2005 2:50:46 AM

Do you know how to write a filter for stocks that have a beta of 2?


rtucker
318 posts
msg #37537
Ignore rtucker
8/19/2005 4:54:20 AM

This is one way of looking at it. The 90 day moving average of SPY's daily percent change is about .5% ... this example returns those ten times as volatile. Adjust to your liking.

Fetcher[set{a, close - close 1 day ago}
set{b, a/close}
set{c, b * 100}
set{vola,abs(c)}
and add column cema(vola,90) and sort column 5 descending

cema(vola,90) > 5 percent

/* cema(vola,90) between 1 and 2 */
]




StockFetcher Forums · General Discussion · high volatility filter?<< >>Post Follow-up

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