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                                                   Screen for non trending stocks?

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Giorrgi
2011-03-19 17:06:55


Hello guys,

I need a formula/indicator that would allow me to screen the stocks that have been stuck in a narrow price channel for 3-5 periods.

Maybe a screener that shows the stocks where the moving average has been flat for the last 3-5 periods/bars. I have no idea how to do that. If anyone could help...

Thanks!



Peter Gum
2011-03-19 19:40:46

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Why doesn't this do it:
a=LinearReg_Slope(5);
where 'a' is between an upper and lower threshhold as a filter.

~Pete



Giorrgi
2011-03-20 08:00:13

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Hi,

I'm not sure I understand how this works... For example, I didn't get the how can 'a' can define both the upper and lower threshold? And also, the "channel" I'm looking for isn't defined by two absolute values but rather by a relative frame.

Yeah, sorry I'm really a newb at this! Thanks for helping.



Peter Gum
2011-03-20 08:43:04

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No problem. I'm new at this myself. I'm trying to answer to test my understanding. The guru will step in when I get it wrong [grin].
- Create a dynamic watchlist.
- On the first screen (or after clicking "Update Selected Watchlist") add rows to filter symbols from the quotes database.
- Click "Next" and enter:
a=LinearReg_Slope(5); // A linear regression line through the last 5 closes.
filter= a<0.1 && a>-0.1; // Filter slope to be between two values. "True" passes.
-Click "Compile". Click "Finish".
You should see a filtered list. Double clicking a Watchlist will show it anytime.
If you return to the script window you can add "AddColumn("Slope",a);" to display the value of the slope.

Does this help?
~Pete



Giorrgi
2011-03-20 10:11:06

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Hey,

Yes this worked better. Though for some reason I'm getting half of the stocks to have the desired "flatness" of the Moving average, but some stocks show a declining moving average.

Also, I'm kind of thinking now that the moving average isn't exactly the right criteria to use: I need stocks that have been stable for the last x days, a moving average can be flat with prices that have varied wildly in the last few days, but in such ways that the average has remained the same (so +10$ on one day, -10$ on the second day, the average will be flat).

I guess a price channel would be the better way to go about this. Sorry to cause so much hassle :P

Thanks again!



Peter Gum
2011-03-20 11:58:28

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Don't worry about hassle; good questions stoke the learning curve for everyone.
Adjust the filter to remove declining stocks. This currently allows them: a>-0.1. Change that to a>0.0.
If you don't find answers in the documentation (and experimenting) ask again, but:
- 'x' can be made into a variable that is set-able in the GUI, and optimizable over a range in increments. You're gonna like that.
- 'wildly' suggests looking into standard deviation and/or hhv and llv.
- for price channel see Bollinger Bands. There are others as well; look in the indicator window.

Keep digging. There's lots of capability to look at that bears on your questions.

~Pete



QuantShare
2011-03-21 05:05:27

  0

Best Answer
Hi,

Here are two other examples:

b = (hhv(high, 5) - llv(low, 5));
a = b / (hhv(high, 50) - llv(low, 50));
filter = a < 0.05;
filter = filter and close > 2 and b > 0;

----------------------------

b = (hhv(high, 5) - llv(low, 5));
a = b / close;
filter = a < 0.02;
filter = filter and close > 2 and b > 0;

The last line is used to reject illiquid stocks and stocks that had no movement during the last 5 bars.



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