Volatility Query

fawn
fawn ✭
in Scanning
My goal is to produce a group of higher volatility stocks using a 100 period time frame. The query I've come up with that actually yields results is: AND [Std Deviation(100) / SMA(100,Close) * 100 > 10]

SC Support suggested that I ask this question on S.C.A.N. I searched S.C.A.N. and didn't find anything relevant. I've tested my scan for output before asking, without much of a result. I was wondering whether anyone with experience in this type of query thought that the syntax I'm using would yield an accurate output. I tried a query originally suggested by a third party that ends: " > 30] " The test results were non-existent at values 30 and 20, and vague at 10.

If anyone with experience in this type of query can give guidance, I would appreciate it. Thank you.

Comments

  • markd
    markd mod
    I ran your scan against the sp600 and got 129 results (as of market close 7/14). It looks like most of the hits are due to one long leg (up or down), or a single sharp price move, rather than a series of wide price moves, which is what I assume you are looking for.

    One thing that might work is to look for high average BB Width in several time frames -

    and [sma(15, BB Width(20,2)) > 30]
    and [sma(50, BB Width(20,2)) > 30]
    and [sma(150, BB Width(20,2)) > 30]

    or another approach might be to time sample:

    and [sma(50, BB Width(20,2)) > 30]
    and [50 days ago sma(50, BB Width(20,2)) > 30]
    and [100 days ago sma(50, BB Width(20,2)) > 30]

    These get relatively few hits, and mostly low priced stocks, but maybe you could play with the parameters to see whether better results are possible.

    Just some ideas.
  • fawn
    fawn ✭
    Thank you very much, markd.

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