Does anyone know where I find a list of stocks that are most volitile up or down over a term or 6 months or longer? I would like to test some out for straddle options strategy. Most of the stock filters and list are only for the last 30 days usually in an earnings period. I need a list with stocks that have the biggest swings all the time. Thanks.
List of most volatile stocks long term?
- Thread starter johnmarg
- Start date
stockfetcher. set the ADR to ADR(180) or higher and then refine.
I think you mean ATR(180)
Try the stock screeners of Yahoo and Google (need to finetune with your own params; for volatile stocks take Beta >= 2 or so):
http://screen.yahoo.com/b?sc=&im=&p...&pegmin=&pegmax=&gr=&grfy=&ar=&vw=1&db=stocks
http://www.google.com/finance/stock...®ion=us§or=AllSectors&sort=&sortOrder=
Correct. Thank you.
This can be done easily in Amibroker
Create a filter that measures volume*C to determine liquidity, One for Standard Deviation in % terms...
You can then order them by both $ liquidity, volatility or both
Filter = 1;
AddColumn(MA(C*Volume,100), "Dollar Volume", 1.2 );
AddColumn(MA(StDev(C,2)/C*100,100),"StDev",1.2);
AddColumn(MA(C*Volume,100)*MA(StDev(C,2)/C*100,100),"StDev Times Volume",1.2);
AddTextColumn( FullName(), "Company Name" );
Sort them in the Results Rows when finished....
Create a filter that measures volume*C to determine liquidity, One for Standard Deviation in % terms...
You can then order them by both $ liquidity, volatility or both
Filter = 1;
AddColumn(MA(C*Volume,100), "Dollar Volume", 1.2 );
AddColumn(MA(StDev(C,2)/C*100,100),"StDev",1.2);
AddColumn(MA(C*Volume,100)*MA(StDev(C,2)/C*100,100),"StDev Times Volume",1.2);
AddTextColumn( FullName(), "Company Name" );
Sort them in the Results Rows when finished....