Dynamic Checklist to Compare Open to yesterday's Close

Dynamic Checklist to Compare Open to yesterday's Close

Mark
2010-10-31 09:14:26

Hi,

I wanted to generate a dynamic watchlist by comparing the open price (today's intraday) to yesterday's close.

The formula would be create a watchlist

- for stocks that has a open below yesterday's close
- for stocks that has a open below yesterday's low

and vice versa for stocks that have open price above yesterday's high or close.

Thanks.

QuantShare
2010-11-01 07:02:52

Here are the trading rules:

- stocks that has a open below yesterday's close
open < ref(close, 1)

- stocks that has a open below yesterday's low
open < ref(low, 1)

- stocks that has a open above yesterday's close
open > ref(close, 1)

- stocks that has a open above yesterday's high
open > ref(high, 1)

Mark
2010-11-01 07:33:26

Thanks for the reply.

Actually I tried it earlier and it works very well for EOD data.

What I wanted is to check yesterday's close which is an EOD data to today's open which is intraday data (early in the morning 15 minutes after the market opens). Of course after downloading the latest quotes for the day.

It does not work in this scenario.

The purpose of this is I would like to know 15 minutes after the market open, which stocks have opened below their prior days close.

On a separate note, how do i refer to intraday data in a formula? If i know this I can write the formula myself. With the above trading rules, it takes the open from the last EOD available data and not the intraday data.

I hope I was clear in explaining what I wanted.

Thanks,

Mark

QuantShare
2010-11-01 10:01:20

Best Answer

Ok, first you will need to change the watchlist time-frame to intraday.

Then you can use the following function to get the last day close price from the historical database.
TimeframeGetSeries1(Name(), 1, close, LastData, 1)

- stocks are below yesterday's close
close < TimeframeGetSeries1(Name(), 1, close, LastData, 1)

In intraday data, "open" do not refers to the day's open but to the open of the current bar.
We will create a function that gets today and past days open, high, low and close prices when working with intraday data.

Another solution is to use the following downloader to get the last quotes (historical with 15-minutes delay), and then apply the above rules.
Daily Stock Quotes - Stock Market EOD Data

Daily Stock Quotes - Stock Market EOD Data (by QuantShare, uploaded several months ago)

No notes

Mark
2010-11-14 05:40:50

Thanks a ton. I will try it out. Great software. Would love it if this could update the intraday data automatically say every minute or so.

Thanks once again.

Mark
2010-11-14 06:01:58

Thanks once again. I found the trick to get the intraday data automatically from your answer to ezygames query in the forum.

Thanks ... will check out the script performance on Monday.

Regards,

Mark

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