StockFetcher Forums · Filter Exchange · Volatile stocks<< >>Post Follow-up
alichambers
48 posts
msg #44711
Ignore alichambers
6/7/2006 7:25:00 AM

Hi,

Does anyone know of a good filter that screens for volatile stocks going up and down? I'm very much into Welles Wilder and his theories - he mentions:

- Commodity Selection Index
- Volatility Index

High CSI values imply trending characteristics - which combined with DI crossovers or SAR can make it a good way to trade the security.

Many thanks,
Alex



mktmole
325 posts
msg #44713
Ignore mktmole
6/7/2006 9:43:18 AM

Hi; for finding stocks with greatest Closing Price Volatility(range) for the past 4 months try,

show stocks where close is above 1
and add column normalized standard deviation(85) {stddev}
and sort column 5 descending and average volume(90) above 300,000



alichambers
48 posts
msg #44720
Ignore alichambers
6/7/2006 3:37:05 PM

Thanks - I had a look at your filter and I threw out 2000+ matches!

I trade with DMI crosses, so is it possible to find stocks that are going up and down and would trade with DI crosses???

AC


nikoschopen
2,824 posts
msg #44721
Ignore nikoschopen
6/7/2006 4:05:14 PM

Take a stab at the Chande Momentum Oscillator. I've included "date offset 20" to show how most of the stocks fared since they were fetched.

Fetcher[
date offset 20
Show stocks where the CMO(20) is above 50
]





TheRumpledOne
6,407 posts
msg #44735
Ignore TheRumpledOne
6/8/2006 3:20:48 AM

Fetcher[

ADD COLUMN Day Point Range

ADD COLUMN CMA( Day Point Range ,30)

CMA( Day Point Range ,30) > 1
AVERAGE VOLUME(30) > 1000000
]




alichambers
48 posts
msg #44747
Ignore alichambers
6/8/2006 8:13:13 AM

Thanks - I'll have a play around.

Actually - while I do that - I had another thought. If I'm trading DI crosses (typically 8 setting), is it possible to create a filter whereby I can see the average gain for a stock after a DI cross, eg:

(in English)
For each DI cross in the last year, the average stock price moves 5-10% - or something like that.

I use a trailing stop.

Thanks again, alex


nikoschopen
2,824 posts
msg #44760
Ignore nikoschopen
modified
6/8/2006 9:05:06 PM

First, take a look at the pertinent info on the "Directional Movement Indcators +DI, -DI, ADX" page (http://www.stockfetcher.com/stockdb/fetcher?p=forum&sub=view&fid=1006&tid=25007)

If you merely want the "performance" statistics of a given stock after +DI/-DI crossover, just tack on the *date offset* feature. For example:

Fetcher[
date offset 20
+DI(8) crossed below the -DI(8)
]

The following filter will give you a 20-day statistics on both bullish (+DI crossing above -DI) and bearish (+DI below -DI) crossovers:

Fetcher[
date offset 20
set{up, count(PDI(8) crossed above MDI(8),1)}
set{down, count(PDI(8) crossed below MDI(8),1) * 2}
set{either, up + down}
either above 0
add column either
and draw +DI(8)
]

When there's a bullish crossover, you will see 1 under the "either" column as its value; if a bearish crossover 2. Of course, you can be as creative as you want. You're only limited by your imagination.


[Here's a complete filter utilizing a combination of DMI crossover and Parabolic SAR]

Fetcher[
date offset 20
set{dmiup, count(PDI(8) crossed above MDI(8),1)}
set{up, dmiup * count(Parabolic SAR(0.02,0.2) below low,1)}
set{dmidn, count(PDI(8) crossed below MDI(8),1)}
set{down, dmidn * count(Parabolic SAR(0.02,0.2) above high,1)}
set{downdown, down * -1}
set{dmisar, up + downdown}
set{zero, count(dmisar equals 0,1)}
set{dmi.sar, 1 - zero}
dmi.sar equals 1
price above 20
and avgvol(17) above 500000
add column dmisar
draw +DI(8)
draw sar
]

Under the "dmi.sar" column, 1 indicates a bullish crossover whereas -1 bearish.



Railwhore
69 posts
msg #44779
Ignore Railwhore
6/9/2006 1:31:39 AM

Lower price huge ATR stocks:

Fetcher[
1 year slope of close above 0
price between 1 and 40
atr(90) above 1.3
volume > 500000
average volume > 500000
do not draw 1 year slope of close
do not draw atr(90)
]




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