curmudgeon
103 posts
msg #49815
- Ignore curmudgeon |
2/4/2007 3:35:29 PM
I have a volatility filter I use to filter down to tradeable stocks. Basically looking for liquid stocks that move. Would appreciate ideas, comments, tips, etc.
/* Volty Range Calcs */
set{hihi, high 15 day high}
add column hihi
set{lolo, low 15 day low}
add column lolo
set{range,hihi - lolo}
add column range
/* Volty Range %Price */
set{%voltyrange, range / close}
set{%range, %voltyrange * 100}
add column %range
/* %ATR */
set{.atr, Average True Range (15)}
add column .atr
set{%atr, Average True Range Percent(15)}
add column %atr
/* Relative Strength */
set{rs, relative strength(^SPX,63)}
add column rs
/* Sort */
show stocks where %range is greater than 10
and rs is above 1.20
and %atr above 2
and Average Volume(15) is above 500000
and close is between .01 and 200
and market is not OTCBB
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TheRumpledOne
6,411 posts
msg #49820
- Ignore TheRumpledOne
modified |
2/4/2007 7:14:29 PM
Be careful with your set names... RANGE is used by SF!!
Use xRange or HLRange or anything else.
You may also have a problem using "%" and "." in the names...
HTH.
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curmudgeon
103 posts
msg #49829
- Ignore curmudgeon |
2/5/2007 12:39:10 AM
Thanks TRO. I haven't noticed any problems but it's a good idea to make it conflict free anyway.
What's your favorite trend detection system?
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trek
72 posts
msg #50195
- Ignore trek |
2/23/2007 5:04:17 PM
I use this filter to pick up trending stocks. It usually has way too many on the list, so it needs something to limit the number of stocks. Volatility filter may be the answer.
Set{hi52w, high 52 week high}
Set{lo52w, low 52 week low}
Set{hi/lo-Ratio, hi52w / lo52w}
SET{X, ATR(20) / CLOSE}
SET{ATR%, X * 100}
SET{VOL%, AVGVOL(20) / AVGVOL(90)}
stock is optionable
sort by column 10 descending
VOL% IS GREATER THAN 1
Show stocks whose price is near the 7 year high and AvgVol(20) is above 100000 and volume is above 50000 and close is above 3 AND hi/lo-Ratio IS GREATER THAN 1.85 and market is not otcbb and add column AvgVol(90) and add column AvgVol(20) and add column VOL% and add column high 7 year high and add column ma(30) and add column ATR% and add column hi/lo-Ratio and add column industry description AND DRAW DARVAS BOX and draw high 7 year high and do not draw hi/lo-ratio and draw ema(30) and draw adx and chart is candlestick and draw ma(50) and add column market
Trek
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