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chris100
 Posted : Sunday, September 30, 2012 12:29:05 AM
Gold Customer

Joined: 7/28/2011
Posts: 14

I have been trying to figure out a way to filter out stocks that are choppy vs stocks that arent. The best way to describe this is by an example.

I want to be able to see stocks that are trading like this:

versus more choppy stocks like this:

These are cvlt on 9/27 and chk on 9/28 on the 5 minute time frame. Both of these stocks formed inside bars on the 15 minute chart, but obviously one stocks looks better than the other. Is there a volatility indicator/PCF or something else anyone can think of to filter out these types of choppy charts on the 5 minute time frame?

I tried filtering using adx but it doesnt seem to help. I have use a shorter time frame to filter out the choppiness but seems to filter out a lot of winners too. Any advise would be appreciated.

Bruce_L
 Posted : Monday, October 01, 2012 2:07:34 PM

Worden Trainer

Joined: 10/7/2004
Posts: 65,138

You would need to come up with an unambiguous objective definition of what you are attempting to identify.

For example, if you wanted to express the mean absolute deviation of the ratio of closing prices from one bar to the next to next expressed as a percentage of the average ratio over the a period of 30-bars, you could create an Indicator Formula similar to the following:

100 * (ABS(C / C1 - (C / C30) ^ (1 / 30)) + ABS(C1 / C2 - (C / C30) ^ (1 / 30)) + ABS(C2 / C3 - (C / C30) ^ (1 / 30)) + ABS(C3 / C4 - (C / C30) ^ (1 / 30)) + ABS(C4 / C5 - (C / C30) ^ (1 / 30)) + ABS(C5 / C6 - (C / C30) ^ (1 / 30)) + ABS(C6 / C7 - (C / C30) ^ (1 / 30)) + ABS(C7 / C8 - (C / C30) ^ (1 / 30)) + ABS(C8 / C9 - (C / C30) ^ (1 / 30)) + ABS(C9 / C10 - (C / C30) ^ (1 / 30)) + ABS(C10 / C11 - (C / C30) ^ (1 / 30)) + ABS(C11 / C12 - (C / C30) ^ (1 / 30)) + ABS(C12 / C13 - (C / C30) ^ (1 / 30)) + ABS(C13 / C14 - (C / C30) ^ (1 / 30)) + ABS(C14 / C15 - (C / C30) ^ (1 / 30)) + ABS(C15 / C16 - (C / C30) ^ (1 / 30)) + ABS(C16 / C17 - (C / C30) ^ (1 / 30)) + ABS(C17 / C18 - (C / C30) ^ (1 / 30)) + ABS(C18 / C19 - (C / C30) ^ (1 / 30)) + ABS(C19 / C20 - (C / C30) ^ (1 / 30)) + ABS(C20 / C21 - (C / C30) ^ (1 / 30)) + ABS(C21 / C22 - (C / C30) ^ (1 / 30)) + ABS(C22 / C23 - (C / C30) ^ (1 / 30)) + ABS(C23 / C24 - (C / C30) ^ (1 / 30)) + ABS(C24 / C25 - (C / C30) ^ (1 / 30)) + ABS(C25 / C26 - (C / C30) ^ (1 / 30)) + ABS(C26 / C27 - (C / C30) ^ (1 / 30)) + ABS(C27 / C28 - (C / C30) ^ (1 / 30)) + ABS(C28 / C29 - (C / C30) ^ (1 / 30)) + ABS(C29 / C30 - (C / C30) ^ (1 / 30))) / 30

Lower values would represent a more "orderly" progression over a period of 30-bars when compared to higher values but only based upon this particular definition and measure. In other words, high values would be more "choppy" than low values over 30-bars, but a different objective definition of choppiness would require a completely different formula.

-Bruce
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