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skibumm2006
Posted : Monday, August 30, 2010 1:57:31 PM
Registered User
Joined: 8/20/2006
Posts: 40
 I am in the process of working on a scan that would filter the entire universe of stocks (only).  This scan will be designed to capture the (One day) daily movement of various stocks based simply upon above average price movement and above average volume.  There would be two scaning formulas, one for advancing stocks and one declinning stock prices.  I am trying to capture stock that are printing above average trading ranges on both the up and down side.   Nothing else matters; moving averages, stocastics or when the CEO threw a toga party for his wife.  

Everyones input would be greatly appreciated.   

Skibumm2006
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Bruce_L
Posted : Monday, August 30, 2010 2:10:48 PM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138
 Over what Period are you calculating your "average price movement" and "average volume"?

Is "price movement" just the Net Change or is it based on Range or True Range?

Is "average price movement" calculated on all price movement or only on movement in the same direction as the direction you are checking (advancing or declining)?

Does "above average" mean just that or does it have to be "above average" by some sort of factor?

Do you just want to detect symbols with above average price movement and above average volume (True or False) or are you trying to create some sort of Indicator?
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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skibumm2006
Posted : Monday, August 30, 2010 10:34:44 PM
Registered User
Joined: 8/20/2006
Posts: 40
 Bruce; thanks for seeking additional clarity on my scan formula.  Answers below;

1. Period equals one trading day.
2. Price movement will be based upon average true range (trading price range) over last 20 trading days.
3. Price movement (ATR) is based upon price movement up or down.
4. Above average trading range (ATR) would equate to 50% to 500% above the 20 day average.
5. Volume would follow the same criteria.
6. Not trying to create an indicator or realize any technical patterns whatsover, just looking for big price and volume moves in stocks trading on the NYSE and the NASDAQ.
7. I requesting two scans; one for advancing, one for declining stocks.
8.  Thank you again
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Bruce_L
Posted : Tuesday, August 31, 2010 9:23:07 AM


Worden Trainer

Joined: 10/7/2004
Posts: 65,138
QUOTE (skibumm2006)
2. Price movement will be based upon average true range (trading price range) over last 20 trading days.
3. Price movement (ATR) is based upon price movement up or down.

These criteria would seem to contradict each other to some extent as Average True Range includes the entire trading range since the Close of the previous Bar to the High and Low and of the current Bar. As a result, I have used ATR for determining above Average Price Movement in the following while using Net Change only in determining if the stock is advancing or declining.

The advancing Personal Criteria Formula could be written as:

C > C1 AND V >= 1.5 * AVGV20 AND (H -L + ABS(H - C1) + ABS(C1 - L)) / 2 >= 1.5 * ((AVGH20 - AVGL20) / 2 + (ABS(H - C1) + ABS(C1 - L) + ABS(H1 - C2) + ABS(C2 - L1) + ABS(H2 - C3) + ABS(C3 - L2) + ABS(H3 - C4) + ABS(C4 - L3) + ABS(H4 - C5) + ABS(C5 - L4) + ABS(H5 - C6) + ABS(C6 - L5) + ABS(H6 - C7) + ABS(C7 - L6) + ABS(H7 - C8) + ABS(C8 - L7) + ABS(H8 - C9) + ABS(C9 - L8) + ABS(H9 - C10) + ABS(C10 - L9) + ABS(H10 - C11) + ABS(C11 - L10) + ABS(H11 - C12) + ABS(C12 - L11) + ABS(H12 - C13) + ABS(C13 - L12) + ABS(H13 - C14) + ABS(C14 - L13) + ABS(H14 - C15) + ABS(C15 - L14) + ABS(H15 - C16) + ABS(C16 - L15) + ABS(H16 - C17) + ABS(C17 - L16) + ABS(H17 - C18) + ABS(C18 - L17) + ABS(H18 - C19) + ABS(C19 - L18) + ABS(H19 - C20) + ABS(C20 - L19)) / 40)

While the declining PCF could be written as:

C < C1 AND V >= 1.5 * AVGV20 AND (H -L + ABS(H - C1) + ABS(C1 - L)) / 2 >= 1.5 * ((AVGH20 - AVGL20) / 2 + (ABS(H - C1) + ABS(C1 - L) + ABS(H1 - C2) + ABS(C2 - L1) + ABS(H2 - C3) + ABS(C3 - L2) + ABS(H3 - C4) + ABS(C4 - L3) + ABS(H4 - C5) + ABS(C5 - L4) + ABS(H5 - C6) + ABS(C6 - L5) + ABS(H6 - C7) + ABS(C7 - L6) + ABS(H7 - C8) + ABS(C8 - L7) + ABS(H8 - C9) + ABS(C9 - L8) + ABS(H9 - C10) + ABS(C10 - L9) + ABS(H10 - C11) + ABS(C11 - L10) + ABS(H11 - C12) + ABS(C12 - L11) + ABS(H12 - C13) + ABS(C13 - L12) + ABS(H13 - C14) + ABS(C14 - L13) + ABS(H14 - C15) + ABS(C15 - L14) + ABS(H15 - C16) + ABS(C16 - L15) + ABS(H16 - C17) + ABS(C17 - L16) + ABS(H17 - C18) + ABS(C18 - L17) + ABS(H18 - C19) + ABS(C19 - L18) + ABS(H19 - C20) + ABS(C20 - L19)) / 40)

How to create a Personal Criteria Forumula (PCF)
Using EasyScan to find stocks that meet your own criteria
20-Day Average True Range
PCF Formula Descriptions
Handy PCF example formulas to help you learn the syntax of PCFs!
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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