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Registered User
Joined: 11/13/2004
Posts: 121
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I am trying to think through if it's possible to write a pcf that will identify those stocks that ascend in a tight, orderly trading range. We all know those stocks that, when we look at their daily charts, steadily move up over a period of six or more months without those wild gyrations -- breakaway gaps up and down, days when the range from high to low is small, other days when the range is huge, whipsawing all over the map -- that make them so volatile, unpredictable and hard to trade.
Some examples of tight traders in a cursory scan of big caps:
PBR from May to Oct.
BR from May to Oct.
EOG from May to Oct.
I'm not expecting perfection here, but CKCM might be an example of a stock that trades erratically. MRY, ESMC and DXYN might be others. Is it volatility? Price? Capitalization? What filters are most apt to find those nice steady climbers with tight trading ranges? Any thoughts appreciated. I hope I am making sense here. :)
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Worden Trainer
Joined: 10/1/2004
Posts: 4,308
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I think you might be able to make use of the information in this video:
Scan for stocks bouncing in a lateral channel
There are formulas just below the video window. There is one that deals with finding stocks that are consolidating (since the video is about stocks bouncing in a lateral channel), but the same formula can be used to find stocks that are trending.
As the information in the video helps you find stocks with tight trading ranges, you may also consider sorting those by a linear regression line plotted on the chart. This will sort your stocks according to the slope of their linear regression line.
- Doug
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Registered User
Joined: 11/13/2004
Posts: 121
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Thank you for the video, which was excellent but not what I am looking for. Upon further research, I have come across Van Tharp's Efficient Stocks that "are stocks that are moving up without a lot of volatility." I believe this may be more in line with what I inarticulately described in my previous post. :)
I note that their is a message thread concerning writing such an Efficient Stocks PFC at Efficiency Screen Using 60-Day ATR. However, the formula used is not the one I have come across:
"The strategy looks at the change in price over four different periods, 20, 45, 90 and 180 days. The change in price is then divided by the average true range over the same periods. Average true range looks for the largest absolute value of these three relationships:
- today’s range (high - low)
- difference between yesterday’s close and today’s high
- difference between yesterday’s close and today’s low
The best overall efficiency is obtained by averaging the four different efficiencies."
I am thinking that "change in price" would use the min low and max high functions. But how would I go about writing such long ATR calculations in such a formula, which I wouldn't attempt as a custom indicator but would compile as a PFC?
This makes me think of a suggestion: I'd love to see a video that shows how to use Excel to write long PFCs that are a nightmare to do manually. I believe I read in a posting about how Excel can be used in such a manner to easily write and re-write complicated PFCs. I am somewhat familiar with Excel but don't use it enough. A video would be great.
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Worden Trainer
Joined: 10/1/2004
Posts: 4,308
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We do training videos that teach features of TeleChart. Unfortunately, a video on Excel would be outside the bounds of what we do here.
I'll pass this on to Bruce.
- Doug
Teaching Online!
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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If you've read through the Efficiency Screen Using 60-Day ATR post, you'll know three different approximations were used. I'll start with an approximation based on the Average Daily Range (ADR).
MAX to MIN ADR Based Efficiency:
((MAXH20-MINL20)/(AVGH20-AVGL20+.00001)+
(MAXH45-MINL45)/(AVGH45-AVGL45+.00001)+
(MAXH90-MINL90)/(AVGH90-AVGL90+.00001)+
(MAXH180-MINL180)/(AVGH180-AVGL180+.00001))/4
Close to Close ADR Based Efficiency:
((C-C20)/(AVGH20-AVGL20+.00001)+
(C-C45)/(AVGH45-AVGL45+.00001)+
(C-C90)/(AVGH90-AVGL90+.00001)+
(C-C180)/(AVGH180-AVGL180+.00001))/4
The second approximation used a Simple Moving Average of TR (SMATR) instead of an ADR. I'll provide the formulas for the Simple Moving Average of True Range in posts to follow later.
The third approximation used an Average True Range (ATR) as set out by Wilder. While I might provide approximations for ATR20 and ATR45, I suspect reasonable approximations of ATR90 and ATR180 are not practical (I'm not sure about this actually. If ADR is used as the base approximation, it might be possible to get a fairly reasonable approximation of ATR by using a far more limited number of terms to calculate the difference between an EMA of Daily Range and ATR then would normally be used to calculate ATR without calculating EMA of Daily Range first).
You will need to substitute the appropriate SMATR or ATR in the posts that follow for the ADR (the AVGHx-AVGLx portion) in the formulas above if you wish to use the longer approximations.
-Bruce
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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20-Period Simple Moving Average of True Range:
(20*AVGH20-20*AVGL20 +ABS(C1-L)+ABS(C1-H) +ABS(C2-L1)+ABS(C2-H1) +ABS(C3-L2)+ABS(C3-H2) +ABS(C4-L3)+ABS(C4-H3) +ABS(C5-L4)+ABS(C5-H4) +ABS(C6-L5)+ABS(C6-H5) +ABS(C7-L6)+ABS(C7-H6) +ABS(C8-L7)+ABS(C8-H7) +ABS(C9-L8)+ABS(C9-H8) +ABS(C10-L9)+ABS(C10-H9) +ABS(C11-L10)+ABS(C11-H10) +ABS(C12-L11)+ABS(C12-H11) +ABS(C13-L12)+ABS(C13-H12) +ABS(C14-L13)+ABS(C14-H13) +ABS(C15-L14)+ABS(C15-H14) +ABS(C16-L15)+ABS(C16-H15) +ABS(C17-L16)+ABS(C17-H16) +ABS(C18-L17)+ABS(C18-H17) +ABS(C19-L18)+ABS(C19-H18) +ABS(C20-L19)+ABS(C20-H19))/40
-Bruce
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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45-Period Simple Moving Average of True Range:
(45*AVGH45-45*AVGL45 +ABS(C1-L)+ABS(C1-H) +ABS(C2-L1)+ABS(C2-H1) +ABS(C3-L2)+ABS(C3-H2) +ABS(C4-L3)+ABS(C4-H3) +ABS(C5-L4)+ABS(C5-H4) +ABS(C6-L5)+ABS(C6-H5) +ABS(C7-L6)+ABS(C7-H6) +ABS(C8-L7)+ABS(C8-H7) +ABS(C9-L8)+ABS(C9-H8) +ABS(C10-L9)+ABS(C10-H9) +ABS(C11-L10)+ABS(C11-H10) +ABS(C12-L11)+ABS(C12-H11) +ABS(C13-L12)+ABS(C13-H12) +ABS(C14-L13)+ABS(C14-H13) +ABS(C15-L14)+ABS(C15-H14) +ABS(C16-L15)+ABS(C16-H15) +ABS(C17-L16)+ABS(C17-H16) +ABS(C18-L17)+ABS(C18-H17) +ABS(C19-L18)+ABS(C19-H18) +ABS(C20-L19)+ABS(C20-H19) +ABS(C21-L20)+ABS(C21-H20) +ABS(C22-L21)+ABS(C22-H21) +ABS(C23-L22)+ABS(C23-H22) +ABS(C24-L23)+ABS(C24-H23) +ABS(C25-L24)+ABS(C25-H24) +ABS(C26-L25)+ABS(C26-H25) +ABS(C27-L26)+ABS(C27-H26) +ABS(C28-L27)+ABS(C28-H27) +ABS(C29-L28)+ABS(C29-H28) +ABS(C30-L29)+ABS(C30-H29) +ABS(C31-L30)+ABS(C31-H30) +ABS(C32-L31)+ABS(C32-H31) +ABS(C33-L32)+ABS(C33-H32) +ABS(C34-L33)+ABS(C34-H33) +ABS(C35-L34)+ABS(C35-H34) +ABS(C36-L35)+ABS(C36-H35) +ABS(C37-L36)+ABS(C37-H36) +ABS(C38-L37)+ABS(C38-H37) +ABS(C39-L38)+ABS(C39-H38) +ABS(C40-L39)+ABS(C40-H39) +ABS(C41-L40)+ABS(C41-H40) +ABS(C42-L41)+ABS(C42-H41) +ABS(C43-L42)+ABS(C43-H42) +ABS(C44-L43)+ABS(C44-H43) +ABS(C45-L44)+ABS(C45-H44))/90
-Bruce
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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90-Period Simple Moving Average of True Range:
(90*AVGH90-90*AVGL90 +ABS(C1-L)+ABS(C1-H) +ABS(C2-L1)+ABS(C2-H1) +ABS(C3-L2)+ABS(C3-H2) +ABS(C4-L3)+ABS(C4-H3) +ABS(C5-L4)+ABS(C5-H4) +ABS(C6-L5)+ABS(C6-H5) +ABS(C7-L6)+ABS(C7-H6) +ABS(C8-L7)+ABS(C8-H7) +ABS(C9-L8)+ABS(C9-H8) +ABS(C10-L9)+ABS(C10-H9) +ABS(C11-L10)+ABS(C11-H10) +ABS(C12-L11)+ABS(C12-H11) +ABS(C13-L12)+ABS(C13-H12) +ABS(C14-L13)+ABS(C14-H13) +ABS(C15-L14)+ABS(C15-H14) +ABS(C16-L15)+ABS(C16-H15) +ABS(C17-L16)+ABS(C17-H16) +ABS(C18-L17)+ABS(C18-H17) +ABS(C19-L18)+ABS(C19-H18) +ABS(C20-L19)+ABS(C20-H19) +ABS(C21-L20)+ABS(C21-H20) +ABS(C22-L21)+ABS(C22-H21) +ABS(C23-L22)+ABS(C23-H22) +ABS(C24-L23)+ABS(C24-H23) +ABS(C25-L24)+ABS(C25-H24) +ABS(C26-L25)+ABS(C26-H25) +ABS(C27-L26)+ABS(C27-H26) +ABS(C28-L27)+ABS(C28-H27) +ABS(C29-L28)+ABS(C29-H28) +ABS(C30-L29)+ABS(C30-H29) +ABS(C31-L30)+ABS(C31-H30) +ABS(C32-L31)+ABS(C32-H31) +ABS(C33-L32)+ABS(C33-H32) +ABS(C34-L33)+ABS(C34-H33) +ABS(C35-L34)+ABS(C35-H34) +ABS(C36-L35)+ABS(C36-H35) +ABS(C37-L36)+ABS(C37-H36) +ABS(C38-L37)+ABS(C38-H37) +ABS(C39-L38)+ABS(C39-H38) +ABS(C40-L39)+ABS(C40-H39) +ABS(C41-L40)+ABS(C41-H40) +ABS(C42-L41)+ABS(C42-H41) +ABS(C43-L42)+ABS(C43-H42) +ABS(C44-L43)+ABS(C44-H43) +ABS(C45-L44)+ABS(C45-H44) +ABS(C46-L45)+ABS(C46-H45) +ABS(C47-L46)+ABS(C47-H46) +ABS(C48-L47)+ABS(C48-H47) +ABS(C49-L48)+ABS(C49-H48) +ABS(C50-L49)+ABS(C50-H49) +ABS(C51-L50)+ABS(C51-H50) +ABS(C52-L51)+ABS(C52-H51) +ABS(C53-L52)+ABS(C53-H52) +ABS(C54-L53)+ABS(C54-H53) +ABS(C55-L54)+ABS(C55-H54) +ABS(C56-L55)+ABS(C56-H55) +ABS(C57-L56)+ABS(C57-H56) +ABS(C58-L57)+ABS(C58-H57) +ABS(C59-L58)+ABS(C59-H58) +ABS(C60-L59)+ABS(C60-H59) +ABS(C61-L60)+ABS(C61-H60) +ABS(C62-L61)+ABS(C62-H61) +ABS(C63-L62)+ABS(C63-H62) +ABS(C64-L63)+ABS(C64-H63) +ABS(C65-L64)+ABS(C65-H64) +ABS(C66-L65)+ABS(C66-H65) +ABS(C67-L66)+ABS(C67-H66) +ABS(C68-L67)+ABS(C68-H67) +ABS(C69-L68)+ABS(C69-H68) +ABS(C70-L69)+ABS(C70-H69) +ABS(C71-L70)+ABS(C71-H70) +ABS(C72-L71)+ABS(C72-H71) +ABS(C73-L72)+ABS(C73-H72) +ABS(C74-L73)+ABS(C74-H73) +ABS(C75-L74)+ABS(C75-H74) +ABS(C76-L75)+ABS(C76-H75) +ABS(C77-L76)+ABS(C77-H76) +ABS(C78-L77)+ABS(C78-H77) +ABS(C79-L78)+ABS(C79-H78) +ABS(C80-L79)+ABS(C80-H79) +ABS(C81-L80)+ABS(C81-H80) +ABS(C82-L81)+ABS(C82-H81) +ABS(C83-L82)+ABS(C83-H82) +ABS(C84-L83)+ABS(C84-H83) +ABS(C85-L84)+ABS(C85-H84) +ABS(C86-L85)+ABS(C86-H85) +ABS(C87-L86)+ABS(C87-H86) +ABS(C88-L87)+ABS(C88-H87) +ABS(C89-L88)+ABS(C89-H88) +ABS(C90-L89)+ABS(C90-H89))/180
-Bruce
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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180-Period Simple Moving Average of True Range:
(180*AVGH180-180*AVGL180 +ABS(C1-L)+ABS(C1-H) +ABS(C2-L1)+ABS(C2-H1) +ABS(C3-L2)+ABS(C3-H2) +ABS(C4-L3)+ABS(C4-H3) +ABS(C5-L4)+ABS(C5-H4) +ABS(C6-L5)+ABS(C6-H5) +ABS(C7-L6)+ABS(C7-H6) +ABS(C8-L7)+ABS(C8-H7) +ABS(C9-L8)+ABS(C9-H8) +ABS(C10-L9)+ABS(C10-H9) +ABS(C11-L10)+ABS(C11-H10) +ABS(C12-L11)+ABS(C12-H11) +ABS(C13-L12)+ABS(C13-H12) +ABS(C14-L13)+ABS(C14-H13) +ABS(C15-L14)+ABS(C15-H14) +ABS(C16-L15)+ABS(C16-H15) +ABS(C17-L16)+ABS(C17-H16) +ABS(C18-L17)+ABS(C18-H17) +ABS(C19-L18)+ABS(C19-H18) +ABS(C20-L19)+ABS(C20-H19) +ABS(C21-L20)+ABS(C21-H20) +ABS(C22-L21)+ABS(C22-H21) +ABS(C23-L22)+ABS(C23-H22) +ABS(C24-L23)+ABS(C24-H23) +ABS(C25-L24)+ABS(C25-H24) +ABS(C26-L25)+ABS(C26-H25) +ABS(C27-L26)+ABS(C27-H26) +ABS(C28-L27)+ABS(C28-H27) +ABS(C29-L28)+ABS(C29-H28) +ABS(C30-L29)+ABS(C30-H29) +ABS(C31-L30)+ABS(C31-H30) +ABS(C32-L31)+ABS(C32-H31) +ABS(C33-L32)+ABS(C33-H32) +ABS(C34-L33)+ABS(C34-H33) +ABS(C35-L34)+ABS(C35-H34) +ABS(C36-L35)+ABS(C36-H35) +ABS(C37-L36)+ABS(C37-H36) +ABS(C38-L37)+ABS(C38-H37) +ABS(C39-L38)+ABS(C39-H38) +ABS(C40-L39)+ABS(C40-H39) +ABS(C41-L40)+ABS(C41-H40) +ABS(C42-L41)+ABS(C42-H41) +ABS(C43-L42)+ABS(C43-H42) +ABS(C44-L43)+ABS(C44-H43) +ABS(C45-L44)+ABS(C45-H44) +ABS(C46-L45)+ABS(C46-H45) +ABS(C47-L46)+ABS(C47-H46) +ABS(C48-L47)+ABS(C48-H47) +ABS(C49-L48)+ABS(C49-H48) +ABS(C50-L49)+ABS(C50-H49) +ABS(C51-L50)+ABS(C51-H50) +ABS(C52-L51)+ABS(C52-H51) +ABS(C53-L52)+ABS(C53-H52) +ABS(C54-L53)+ABS(C54-H53) +ABS(C55-L54)+ABS(C55-H54) +ABS(C56-L55)+ABS(C56-H55) +ABS(C57-L56)+ABS(C57-H56) +ABS(C58-L57)+ABS(C58-H57) +ABS(C59-L58)+ABS(C59-H58) +ABS(C60-L59)+ABS(C60-H59) +ABS(C61-L60)+ABS(C61-H60) +ABS(C62-L61)+ABS(C62-H61) +ABS(C63-L62)+ABS(C63-H62) +ABS(C64-L63)+ABS(C64-H63) +ABS(C65-L64)+ABS(C65-H64) +ABS(C66-L65)+ABS(C66-H65) +ABS(C67-L66)+ABS(C67-H66) +ABS(C68-L67)+ABS(C68-H67) +ABS(C69-L68)+ABS(C69-H68) +ABS(C70-L69)+ABS(C70-H69) +ABS(C71-L70)+ABS(C71-H70) +ABS(C72-L71)+ABS(C72-H71) +ABS(C73-L72)+ABS(C73-H72) +ABS(C74-L73)+ABS(C74-H73) +ABS(C75-L74)+ABS(C75-H74) +ABS(C76-L75)+ABS(C76-H75) +ABS(C77-L76)+ABS(C77-H76) +ABS(C78-L77)+ABS(C78-H77) +ABS(C79-L78)+ABS(C79-H78) +ABS(C80-L79)+ABS(C80-H79) +ABS(C81-L80)+ABS(C81-H80) +ABS(C82-L81)+ABS(C82-H81) +ABS(C83-L82)+ABS(C83-H82) +ABS(C84-L83)+ABS(C84-H83) +ABS(C85-L84)+ABS(C85-H84) +ABS(C86-L85)+ABS(C86-H85) +ABS(C87-L86)+ABS(C87-H86) +ABS(C88-L87)+ABS(C88-H87) +ABS(C89-L88)+ABS(C89-H88) +ABS(C90-L89)+ABS(C90-H89) +ABS(C91-L90)+ABS(C91-H90) +ABS(C92-L91)+ABS(C92-H91) +ABS(C93-L92)+ABS(C93-H92) +ABS(C94-L93)+ABS(C94-H93) +ABS(C95-L94)+ABS(C95-H94) +ABS(C96-L95)+ABS(C96-H95) +ABS(C97-L96)+ABS(C97-H96) +ABS(C98-L97)+ABS(C98-H97) +ABS(C99-L98)+ABS(C99-H98) +ABS(C100-L99)+ABS(C100-H99) +ABS(C101-L100)+ABS(C101-H100) +ABS(C102-L101)+ABS(C102-H101) +ABS(C103-L102)+ABS(C103-H102) +ABS(C104-L103)+ABS(C104-H103) +ABS(C105-L104)+ABS(C105-H104) +ABS(C106-L105)+ABS(C106-H105) +ABS(C107-L106)+ABS(C107-H106) +ABS(C108-L107)+ABS(C108-H107) +ABS(C109-L108)+ABS(C109-H108) +ABS(C110-L109)+ABS(C110-H109) +ABS(C111-L110)+ABS(C111-H110) +ABS(C112-L111)+ABS(C112-H111) +ABS(C113-L112)+ABS(C113-H112) +ABS(C114-L113)+ABS(C114-H113) +ABS(C115-L114)+ABS(C115-H114) +ABS(C116-L115)+ABS(C116-H115) +ABS(C117-L116)+ABS(C117-H116) +ABS(C118-L117)+ABS(C118-H117) +ABS(C119-L118)+ABS(C119-H118) +ABS(C120-L119)+ABS(C120-H119) +ABS(C121-L120)+ABS(C121-H120) +ABS(C122-L121)+ABS(C122-H121) +ABS(C123-L122)+ABS(C123-H122) +ABS(C124-L123)+ABS(C124-H123) +ABS(C125-L124)+ABS(C125-H124) +ABS(C126-L125)+ABS(C126-H125) +ABS(C127-L126)+ABS(C127-H126) +ABS(C128-L127)+ABS(C128-H127) +ABS(C129-L128)+ABS(C129-H128) +ABS(C130-L129)+ABS(C130-H129) +ABS(C131-L130)+ABS(C131-H130) +ABS(C132-L131)+ABS(C132-H131) +ABS(C133-L132)+ABS(C133-H132) +ABS(C134-L133)+ABS(C134-H133) +ABS(C135-L134)+ABS(C135-H134) +ABS(C136-L135)+ABS(C136-H135) +ABS(C137-L136)+ABS(C137-H136) +ABS(C138-L137)+ABS(C138-H137) +ABS(C139-L138)+ABS(C139-H138) +ABS(C140-L139)+ABS(C140-H139) +ABS(C141-L140)+ABS(C141-H140) +ABS(C142-L141)+ABS(C142-H141) +ABS(C143-L142)+ABS(C143-H142) +ABS(C144-L143)+ABS(C144-H143) +ABS(C145-L144)+ABS(C145-H144) +ABS(C146-L145)+ABS(C146-H145) +ABS(C147-L146)+ABS(C147-H146) +ABS(C148-L147)+ABS(C148-H147) +ABS(C149-L148)+ABS(C149-H148) +ABS(C150-L149)+ABS(C150-H149) +ABS(C151-L150)+ABS(C151-H150) +ABS(C152-L151)+ABS(C152-H151) +ABS(C153-L152)+ABS(C153-H152) +ABS(C154-L153)+ABS(C154-H153) +ABS(C155-L154)+ABS(C155-H154) +ABS(C156-L155)+ABS(C156-H155) +ABS(C157-L156)+ABS(C157-H156) +ABS(C158-L157)+ABS(C158-H157) +ABS(C159-L158)+ABS(C159-H158) +ABS(C160-L159)+ABS(C160-H159) +ABS(C161-L160)+ABS(C161-H160) +ABS(C162-L161)+ABS(C162-H161) +ABS(C163-L162)+ABS(C163-H162) +ABS(C164-L163)+ABS(C164-H163) +ABS(C165-L164)+ABS(C165-H164) +ABS(C166-L165)+ABS(C166-H165) +ABS(C167-L166)+ABS(C167-H166) +ABS(C168-L167)+ABS(C168-H167) +ABS(C169-L168)+ABS(C169-H168) +ABS(C170-L169)+ABS(C170-H169) +ABS(C171-L170)+ABS(C171-H170) +ABS(C172-L171)+ABS(C172-H171) +ABS(C173-L172)+ABS(C173-H172) +ABS(C174-L173)+ABS(C174-H173) +ABS(C175-L174)+ABS(C175-H174) +ABS(C176-L175)+ABS(C176-H175) +ABS(C177-L176)+ABS(C177-H176) +ABS(C178-L177)+ABS(C178-H177) +ABS(C179-L178)+ABS(C179-H178) +ABS(C180-L179)+ABS(C180-H179))/360
-Bruce
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