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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.
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.
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.
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)