Volatility Query

fawn

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.

markd

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

Thank you very much, markd.