macer
22 posts
msg #61580
- Ignore macer |
4/18/2008 9:53:20 AM
I would like to produce a filter that catches large orders filled at the wrong price. I don’t know how realistic it is to call them mistakes but that’s what they look like.
The stocks I’m looking for usually have a large gap up then a correction back to a more sensible level, here are some recent examples:
I think it’s essential that
* the gap is against the medium term trend of the stock.
* open to close moves with a above average range towards the average current price level.
My entry would be the next day at the previous days close.
Does anyone have any constructive criticism on this approach or would anyone like to take a pop at a filter.
macer
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dwiggains
441 posts
msg #61584
- Ignore dwiggains
modified |
4/18/2008 10:59:05 AM
Hi
This filter produces "black bars" close is up and close is below open.
See ya
David
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macer
22 posts
msg #61591
- Ignore macer |
4/18/2008 11:35:33 AM
Do you think there is any merit in identifying “black bars”? Do you think this is a good short term indication of the stocks direction?
I’m not sure if the 9% statement is working some of the results look suspect to my eye.
I thought of maybe using something like open above BB(20,4) as a measure of volatility from the current price range.
I would also like to include something to filter out stocks that didn’t range, maybe something with ATR.
What ya think?
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