Hey guys i got a question that some of you system traders can maybe answer. I am looking for a way or a product or an indicator that can filter out or alert me of sotcks that have a greater than 4% intra-day trading range relative to their price. I dont think an indicator is out there that i could use but maybe you know of a some charting or data crunching package or there is a simple formula to use. Basically i need to be able to filter out sotcks taht move more that 4 or 5% in certain amount of days so that i dont trade them using my 3% stop rule, so that i dont keep getting stopped out. I guess its would be in a way trying to filter out stocks that move 4 points or more for lets say 10 out of 30 days so that i dont use a 1 point stop. I dont know if i explained it right, but if any of you can help out that's be great/. Any ideas or thoughts are greatly appreciated. thnx
filtering intraday % volatility
- Thread starter janko
- Start date
might want to take a look at www.tc2000.com You can filter for ATR (avg trading range) and then divide by the stock price to get a percentage. I´m not sure if it will do exactly what you want it right off the bat or require some coaxing. Contact them and see what they say. They are a pretty good company re cust service.
Babak is right, you can find what your looking for if you use a stop based on the ATR. You can use a program like Quotes Plus to perform the type of calculation you are looking for. I am doing similar (but not exactly the same) calculations to obtain similar results.
A 3% stop is pretty restrictive, but doable for some stocks. For example, I use an initial stop in my trades of 1.5 X the ATR of the stock. Most of the time this kind of stop falls around the five percent range, but sometimes you can find a stop based on the ATR which is only 3%. The lowest risk trades % wise are high priced stocks with small ATRs. The highest risk trades are low priced stocks with big ATRs.
I use a program called Quotes Plus to measure the ATR every three days, to 21 trading days back. I then copy and paste the information from the Quotes Plus grid (bascially a spreadsheet) into Excel. I use a function in Excel called MAX to automatically find the largest ATR from my Quotes Plus calculations. I then muliply the MAX ATR X 1.5 to come up with my stop amount.
I then perform one additional calculation to find out how much risk my stop actually entails, by dividing the value of the stop by the share price.
I realize all of this might seem terribly complicated, but the truth is, I only had to figure it out once, and now I have the computer doing all the work. It is simply a matter of running my Quotes Plus scans and pasting the data into excel.
If you aren't familiar with Average True Range here are some good explanations at these links. FYI, You might need to register to view these pages.
http://traderclub.com/discus/messages/107/107.html
Look for Bulletin 10 and 11
I am attaching a page from my spreadsheet so you can see what I'm talking about.
Regards,
Alex
A 3% stop is pretty restrictive, but doable for some stocks. For example, I use an initial stop in my trades of 1.5 X the ATR of the stock. Most of the time this kind of stop falls around the five percent range, but sometimes you can find a stop based on the ATR which is only 3%. The lowest risk trades % wise are high priced stocks with small ATRs. The highest risk trades are low priced stocks with big ATRs.
I use a program called Quotes Plus to measure the ATR every three days, to 21 trading days back. I then copy and paste the information from the Quotes Plus grid (bascially a spreadsheet) into Excel. I use a function in Excel called MAX to automatically find the largest ATR from my Quotes Plus calculations. I then muliply the MAX ATR X 1.5 to come up with my stop amount.
I then perform one additional calculation to find out how much risk my stop actually entails, by dividing the value of the stop by the share price.
I realize all of this might seem terribly complicated, but the truth is, I only had to figure it out once, and now I have the computer doing all the work. It is simply a matter of running my Quotes Plus scans and pasting the data into excel.
If you aren't familiar with Average True Range here are some good explanations at these links. FYI, You might need to register to view these pages.
http://traderclub.com/discus/messages/107/107.html
Look for Bulletin 10 and 11
I am attaching a page from my spreadsheet so you can see what I'm talking about.
Regards,
Alex
Basically i need to be able to filter out sotcks taht move more that 4 or 5% in certain amount of days so that i dont trade them using my 3% stop rule, so that i dont keep getting stopped out. I guess its would be in a way trying to filter out stocks that move 4 points or more for lets say 10 out of 30 days so that i dont use a 1 point stop. I dont know if i explained it right, but if any of you can help out that's be great/. Any ideas or thoughts are greatly appreciated. thnx [/QUOTE]
For this, you need something more high power like FirstAlert or Tradestation.