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Scanning for volatile stocks

Is there a scan that will rank stocks by volatility or include only those that are over or under a certain threshold? I am looking to weed out stocks that might be too dangerous for a beginner to trade.



  • I haven't actually done this, so you want to test it for yourself. It looks like you could use the Standard Deviation indicator or the Ulcer Index indicator and test for a max value over some period - like maybe a year. That would give you stocks that have limited their volatility to that level for that period. Then you could look at those charts and adjust the value down if those bounce around too much, or raise it if you are comfortable with more.

    So you might start with

    and [max(251, Std Deviation(21)) < 1]

    This says, get stocks that have moved less than one standard deviation per 21 days over the last year.

    Save the results to a list and apply a chart style with the Std Deviation indicator and review the results, then adjust. Note you can adjust the 251 and the 21 and the 1.

    In general, higher priced, higher capitalization stocks will be less volatile because it takes more money to move them. That said, surprise news can tank any stock. But you could start with SP 500 stocks -

    [group is sp500]

    or you can add a price and market cap test:

    [mkt cap > 10000]
    and close > 50]

    or whatever you want. Mkt cap increments in millions - so >100 is greater than 100 million, 1000 is a billion and so on.

  • Thanks for that. I thought perhaps standard deviation could be used somehow. I appreciate the help.
  • I realized something after reading your comment markd. I was thinking of answering by suggesting to use BB Width, ATR, and Standard Deviation. The typical scans of these three usually look for volatility contraction. Volatility contraction is more of a trading setup and would not directly answer dare's question like your comment. Volatility Contraction does not check to see if the stock has a history of low volatility. It only checks the 'now'.

    If one were to use BB Width, ATR, and Stnd Dev to determine if the stock has a history of low volatility, then a scan clause would have to be written like yours where the clause checks if the indicator does not exceed some value for too long over the course of a year.
  • carlsoncarlson
    edited February 2015
    Adding this line to a scan should get some stocks that have been pretty passive for the last 20 days. Give higher preference for big cap, old, established, maintainer management type, household names, consumer staples, supermarkets, cleaning supplies, boring, nothing ever happens, etc. type of companies.

    and [Upper Kelt Chan (20,2.0,20) < Lower Kelt Chan (20,2.0,20) * 1.10]

    Sample values today:

    KITE, Kite Pharma = 1.40 (small biotechs can be very volatile)
    AAPL, Apple = 1.10 (large cap technology generally not as volatile as small cap biotech)
    CLX, Chlorox = 1.06 (large cap, boring, consumer staples - household supplies)
    KR, Krogers = 1.05 (large cap, boring, consumer staples - supermarket)
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