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finding volume spikes

Is there syntax to scan for a volume change greater than the previous X sessions or a single or group of sessions within a specified previous number of days, expressed as a % of difference. A couple of examples: stocks with a daily session volume at least 200% greater than the previous 30 days; or [same except] a daily volume 200% greater than any of the others in the last 30 days (so that if three days ago there was something more than double anything in the last 30 days, including the two days since that volume spike?). As far as I can tell, the volume scanning capability is just raw volume, which will be much higher for a large cap than a small cap. A change in % of volume would be nice to detect. Thanks.

Best Answers

  • markdmarkd mod
    edited May 2015 Accepted Answer
    Well, the easiest way to do it would probably be just:

    and [volume > sma(21, volume) * 2]

    That says today's volume is greater than twice the average volume of the last month.

    You can use the drop down calendar above the scan criteria window (where it says "Starting ? days before...") to run the scan for prior days.

    If you wan to do something fancier, explore the "max()" function and other options from links on the scan "Instructions" page. The link for that is at the bottom of the advanced scan page.
  • ekwongekwong
    Accepted Answer
    Today greater than max of 30 days by at least 100%
    [volume > yesterday's max(30, volume) *2]
    rank by [volume/yesterday's max(30,volume)]


    Last 5 days greater than max of 30 days prior by at least 100%
    [max(5,volume) > 5 days ago max(30,volume) *2]
    rank by [max(5,volume)/5 days ago max(30,volume)]

Answers

  • Well, you have to more specific about "200% greater than the past 30 days". Do you mean 200% greater than the 30 day average volume of the past 30 days, 200% greater than the greatest volume in the last 30 days, 200% greater than the sum of the volume of the last 30 days, or something else? You can get all of these by customizing built in functions. You just need to specify which you want and we can come up with something.
  • Both the first and second would be useful scans. Which one would come up with the best results would only be known by trying it. I don't even know what the optimum difference might be. I'd just be looking for a noticeable, sudden jump in volume. Thanks!
  • Also, it is possible for it to scan for a volume spike of at least the set magnitude that would be anytime in the last x days, or can it only be done for the last completed session? That would make possible, say, a scan every weekend to see what stocks had a volume spike during that week. Even if it had to be done each day, it would still be as good.
  • Thanks! I'll give it a shot.
  • Thanks! I look forward to using some versions of those. I ran a scan this morning using the parameters:

    [type = stock]
    and [volume > sma(21, volume) * 2]
    and [exchange is NYSE]
    and [group is EnergySector]

    I picked energy sector because it has the lower relative strength of the sectors compared to the SPX. Turned up three stocks, only one showed any promise. http://schrts.co/efrESD
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