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derekb1959
 Posted : Thursday, January 11, 2018 4:55:56 PM
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Joined: 11/21/2016
Posts: 16

Bruce,

I trade intraday momentum stocks from \$1 to \$150 and look for breakouts at the open. In my EasyScans, I am using Dollar Volume on 1 minute candles to filter for adequate liquidity, so it does not matter what the price is. For trial values, I am trying:

1 minute dollar volume > 50000
5 minute dollar voume > 250000

I only want to use completed candles because as a candle opens, it's volume restarts near zero. I want to use a 5 bar average.

For 1 minute timeframe, 5 bar average, ending on the previous bar:
(AVGV5.1*AVGC5.1)>50000

My question is this. If I run my scan at 3 minutes into the open, which bars are getting used in this formula? I know premarket is not used (oh, I wish). The Averages are calculated on 5 bars, ending 1 bar ago. But only 2 bars have formed today so far. Does the formula use the last 3 bars of yesterday and 2 from today? On breakout stocks, the volume could be puny the day before, which would mess up my intended results.

I suppose 3 bars would be enough average, instead of 5. Heck, maybe 1 bar is enough, then my question does not matter.

Regards,
Derek

Bruce_L
 Posted : Thursday, January 11, 2018 4:59:17 PM

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Joined: 10/7/2004
Posts: 64,314

The formula would in fact be using 3 bars from yesterday and 2 bars from today. There is no way to make it not overlap into the previous trading day besides shortening the period.

-Bruce
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derekb1959
 Posted : Friday, January 12, 2018 8:41:44 AM
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Joined: 11/21/2016
Posts: 16

Bruce,

Ok, thanks. That's what I suspected.

Derek

Bruce_L
 Posted : Friday, January 12, 2018 8:51:45 AM

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Joined: 10/7/2004
Posts: 64,314

You're welcome.

-Bruce
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