| Welcome Guest, please sign in to participate in a discussion. | Search | Active Topics | |
Registered User
Joined: 5/4/2007
Posts: 17
|
I'm looking to create a scan that can return stocks that are very volatile. Stocks that have more than 5% (of their process) swing on a daily basis. How do I create this scan?Thanks,Abe
|
|
Worden Trainer
Joined: 10/7/2004
Posts: 65,138
|
Are you looking for an average swing over some Time Frame? Like the Percent Difference of the Average Range over say the previous 20-Bars:
AVGH20.1 / AVGL20.1 >= 1.05
Or the Average Percent Range over the previous 10-Bars:
(H1 / L1 + H2 / L2 + H3 / L3 + H4 / L4 + H5 / L5 + H6 / L6 + H7 / L7 + H8 / L8 + H9 / L9 + H10 / L10) / 10 >= 1.05
Or are you looking for the minimum percent range over say the previous 5-Bars to be at least 5%?
H1 / L1 >= 1.05 AND H2 / L2 >= 1.05 AND H3 / L3 >= 1.05 AND H4 / L4 >= 1.05 AND H5 / L5 >= 1.05
Or are you looking for something else entirely?
PCF Formula Descriptions
Handy PCF example formulas to help you learn the syntax of PCFs!
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
|
|
Registered User
Joined: 5/4/2007
Posts: 17
|
I'm looking to create a scan that can give me optionable stocks that are very volatile (can sort on volatility). I will be looking for high volume (over 500K) and priced above $5. I will then enter it into another tool (since I can't go further with TC2000 on the rest of research) and try to see which ones are coming up against an earning announcement. Basically trying to find good trades before an earnings announcement.
Thanks Bruce.
|
|
Worden Trainer
Joined: 10/7/2004
Posts: 65,138
|
We can create a Condition Formula for your Volume and Price requirements:
V >= 500000 AND C > 5
Or create two Conditions by clicking on Price and Volume and selecting Create Condition. Either way, we can use the Conditions as part of a Scan.
Indicators, Sorting & Scanning
There seem to be a lot of indicators called Volatility (or with Volatility in the name). Do an internet search for Volatility Technical Analysis and you will see what I mean by a lot (Chaikin's Volatility, VIX, Historical Volatility, Relative Volatility, Volatility Bands, Bollinger Bandwidth, Range, Average True Range and TeleChart's built in Price Volatility Criteria are just a few examples of Volatility indicators). None of them would seem to be any more "usual" than another.
Do you have a particular measure of Volatility in mind?
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
|
|
Registered User
Joined: 5/4/2007
Posts: 17
|
would it be possible to define volatility in this example to be price constantly on a daily basis swing up and down by 10 percent of previous close. the timeline should be the previous 40days.
|
|
Worden Trainer
Joined: 10/7/2004
Posts: 65,138
|
It is possible to do so.
V >= 500000 AND C > 5 AND H1 - L1 >= .1 * C2 AND H2 - L2 >= .1 * C3 AND H3 - L3 >= .1 * C4 AND H4 - L4 >= .1 * C5 AND H5 - L5 >= .1 * C6 AND H6 - L6 >= .1 * C7 AND H7 - L7 >= .1 * C8 AND H8 - L8 >= .1 * C9 AND H9 - L9 >= .1 * C10 AND H10 - L10 >= .1 * C11 AND H11 - L11 >= .1 * C12 AND H12 - L12 >= .1 * C13 AND H13 - L13 >= .1 * C14 AND H14 - L14 >= .1 * C15 AND H15 - L15 >= .1 * C16 AND H16 - L16 >= .1 * C17 AND H17 - L17 >= .1 * C18 AND H18 - L18 >= .1 * C19 AND H19 - L19 >= .1 * C20 AND H20 - L20 >= .1 * C21 AND H21 - L21 >= .1 * C22 AND H22 - L22 >= .1 * C23 AND H23 - L23 >= .1 * C24 AND H24 - L24 >= .1 * C25 AND H25 - L25 >= .1 * C26 AND H26 - L26 >= .1 * C27 AND H27 - L27 >= .1 * C28 AND H28 - L28 >= .1 * C29 AND H29 - L29 >= .1 * C30 AND H30 - L30 >= .1 * C31 AND H31 - L31 >= .1 * C32 AND H32 - L32 >= .1 * C33 AND H33 - L33 >= .1 * C34 AND H34 - L34 >= .1 * C35 AND H35 - L35 >= .1 * C36 AND H36 - L36 >= .1 * C37 AND H37 - L37 >= .1 * C38 AND H38 - L38 >= .1 * C39 AND H39 - L39 >= .1 * C40 AND H40 - L40 >= .1 * C41
That said, it really doesn't happen enough for you to get any results. You may be better off using the original Condition Formula as a Scan:
V >= 500000 AND C > 5
And then Sorting by the number of times in the last 40-days that the range of price has been at least 10% of the previous close.
ABS(H1 - L1 >= .1 * C2) - (H2 - L2 >= .1 * C3) - (H3 - L3 >= .1 * C4) - (H4 - L4 >= .1 * C5) - (H5 - L5 >= .1 * C6) - (H6 - L6 >= .1 * C7) - (H7 - L7 >= .1 * C8) - (H8 - L8 >= .1 * C9) - (H9 - L9 >= .1 * C10) - (H10 - L10 >= .1 * C11) - (H11 - L11 >= .1 * C12) - (H12 - L12 >= .1 * C13) - (H13 - L13 >= .1 * C14) - (H14 - L14 >= .1 * C15) - (H15 - L15 >= .1 * C16) - (H16 - L16 >= .1 * C17) - (H17 - L17 >= .1 * C18) - (H18 - L18 >= .1 * C19) - (H19 - L19 >= .1 * C20) - (H20 - L20 >= .1 * C21) - (H21 - L21 >= .1 * C22) - (H22 - L22 >= .1 * C23) - (H23 - L23 >= .1 * C24) - (H24 - L24 >= .1 * C25) - (H25 - L25 >= .1 * C26) - (H26 - L26 >= .1 * C27) - (H27 - L27 >= .1 * C28) - (H28 - L28 >= .1 * C29) - (H29 - L29 >= .1 * C30) - (H30 - L30 >= .1 * C31) - (H31 - L31 >= .1 * C32) - (H32 - L32 >= .1 * C33) - (H33 - L33 >= .1 * C34) - (H34 - L34 >= .1 * C35) - (H35 - L35 >= .1 * C36) - (H36 - L36 >= .1 * C37) - (H37 - L37 >= .1 * C38) - (H38 - L38 >= .1 * C39) - (H39 - L39 >= .1 * C40) - (H40 - L40 >= .1 * C41)
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
|
|
Registered User
Joined: 5/4/2007
Posts: 17
|
Thanks a bunch Bruce. I will try it and see if I have any more questions.
- Abe
|
|
Worden Trainer
Joined: 10/7/2004
Posts: 65,138
|
You're welcome.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
|
|
|
Guest-1 |