Volatility Contraction Breakout Scan Code

affolsa1
affolsa1 ✭
in Scanning
Hi all,

I'm currently trying to implement a custom volatility contraction breakout scan which should figure out potential US stocks, closed to a breakout, after a volatility contraction period. The code sample below divides the difference between the upper/lower BB by the closing price and lt 4% BandWidth left.

What I'm trying to archive is the precise breakout direction using CMF in an accumulation mode and OBV, pushing against the price in an upside trend:

[type = stock] and
[Close > 9.99] AND
[[group is NSE] OR [group is NASDAQ100] OR [group is SP500] OR [group is SP400] OR [group is SP600]] AND
[daily sma(20,daily volume) > 100000] and
[daily sma(60,daily close) > 20] and
[[[Upper BB (20,2) - Lower BB (20,2)] / Close ] < .04]
and [CMF(20) > 0.0] AND
[OBV > yesterday's OBV]

Are there any other more relevant indicators (like the ADL or MFI) which are showing buying/selling pressure within the contraction?
Does anyone have a more precise code sample so that I can determine that we're potentially very closed to an upside breakout?

PS: Attached is a VC breakout sample with CBPO. The VC started in the begin of Nov 2014 and the breakout came through in Feb 2015.

Krgds from Switzerland
Sascha

Comments

  • markd
    markd mod
    This is just a hunch - I haven't had time to work it out - but sometimes a stock about to break out will show relative strength against it's industry group. In this case it might be ROC(5) for the stock is greater than ROC(5) for the group - in this case $DJUSBT.

    Unfortunately, you would have to get the ROC(5) for the group first, then edit the scan - so let's say ROC(5) for $DJUSBT is .05 - you would update your scan to

    and [ROC(5) > .05]

    Just a thought - haven't tested it, don't know if it will be useful.

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