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Help: Intraday Trading Range Scanning

  1. I trade a large variety of stocks and every once in a while I need to rebuild my watch list. My criteria is NYSE, at least 200K average daily volume, and at least 1.5 point average daily range, sorted by industry name.

    I used to have Big Easy Investor to do this until they started charging $40 a month and their average daily range indicator is not very precise, I got some really crappy stocks that don't move at all with that scanner.

    I have looked everywhere on the web and I can't seem to find an equivalent. My formula is very simple:

    average(high - low) of last 20 trading days > 1.5

    I used to have a program called Quote Plus 2 which allows you to write scripting language to scan for stocks, but it is $25 a month and while I guess I can just bite the bullet for it, I find it kind of wasteful to spend $25 a month for something that I only need a few minutes a month to update a watch list.

    If someone can come up with an Excel macro or can point me to something that does what I described above for free, I would be very grateful, otherwise I probably will just subscribe QP2, I don't have anything at home to read charts with so I guess it may be worth it.
     
  2. Instead of (Hi-Lo), I used to scan for P/e > 50.. the inflated ones tends to be more volatile.

    Hope that helps.
     
  3. Whoa! let me get this straight Hitman

    A high roller like you -- pulling in multiple k a month, trading thousands of shares a day, with top of the line computing power, multiple monitors, panning the use of QuoteTracker, perks from your trading firm, years of experience trading, etc and you can't afford BEI for 40 a month?

    What am i missing? Just curious

    greg
     
  4. a penny saved is a penny earned
     
  5. penny wise pound foolish
     
  6. Gh2:

    While everything you said is true except the many years of trading experience (9 month here), it is rather the principle. You see I borrow a friend's briefing.com login at work, because I am not going to spend that $10 a month if I don't have to. Spending money for something you can get for free is blue collar, pure and simple.

    I posted this question just to see if there are any solutions out there. I never liked BEI except that one screening parameter, and I feel it is kind of wasteful to pay $40 a month to use one parameter 5 minutes every month to . . . update my watch list. Everything else BEI can do I have far superior tools for the job, except the damn intraday trading range. I can live with my current watch list for a long time, but I always want to see what stocks are moving so I can find new stocks to trade.

    I have a few friend who subscribe to BEI, but unlike Briefing which I can just use their login as if it is mine, BEI they have to run the screen and send result to me via e-mail, it is a little bit of a hassle and I am just wondering if there are any other solutions, that's all . . . Not to mention I have a fundamental problem about buying a piece of inferior software just for one perk, one gimmick feature.

    Dozu:

    Thanks, I tried that before, but I was wondering if there is something that can calculate it precisely.

    Sniper:

    Thanks, but I already have a real time scanner at work and I don't really use it (already have too many trading ideas, don't need more, just need to do a better job with the ones I have). I will probably subscribe to QP2 . . .
     
  7. Hitman,

    Well, I'm no master trader like you are. As well, I sure don't pull in the big bucks like you do either. Perhaps one day I'll be a trader of greater stature and height, but not yet. But even at my lowly current trading size and account size, I don't mind paying for a service if I more than make up for it in earnings from trading (hard for me to do with the piddly amount I make). Since you are many notches above me, I don't see the problem. Stop complaining and pony up and pay for the service already.

    Wet

    P.S. The blue collar world awaits you when/if you fail at your current endeavors.
     
  8. Hitman,

    > I borrow a friend's briefing.com login at work, because I
    > am not going to spend that $10 a month if I don't have to.

    Too bad you feel that way, particularly since you obviously don't need to cheat those folks out of their $10. I subscribe to briefing.com and they provide an excellent service, surely worth a paltry $10 per month.

    Of course, aside from the $10 there's the issue of integrity but we won't get into that...
     
  9. Wet:

    My point is $40 a month is enough money to pay for a Metastock EOD data feed (I know the program is expensive, but it is not too hard to get a copy if you know a few pirates), which is light years ahead of BEI.

    Also, if it really is something that helps me in trading then I wouldn't mind paying $400 a month for it. It is a watch list generator! I need it less than 5 minutes a month to see if there are any stocks on the move.

    In term of the overall food chain I am still a blue collar, but I am trying to turn white, that means I got get rid of the bad blue collar habits.

    No where in my journal nor any posts I mentioned I am a master trader, if being a profitable trader is like playing in the NBA, I am no more than one of the scrubs who only play in practice and garbage time.

    I don't understand why posting a simple question would generate so much unrelated messages . . .
     
  10. Hitman,

    I meant compared to me that's what you are.

    Also, I'm afraid you're doomed to the blue collar.

    Magna,

    No mentioning Hitman's lack of integrity. Leave that on the MSN boards.

    Wet
     
  11. Hitman,

    I meant compared to me that's what you are.

    Also, I'm afraid you're doomed to the blue collar. It's the blue collar man that worries about 10 bucks. Don't worry about the label, you'll get used to it.

    Magna,

    No mentioning Hitman's lack of integrity. Leave that on the MSN boards.

    Wet
     
  12. Please don't scare Hitman away from this board. His trading journal is one of the best threads and is my daily read.

    Stop all this right now.
     
  13. Wet:

    Why buy the cow when the milk is free?
     
  14. Hi Hitman,

    I can offer a couple of suggestions if your intent upon getting the Metastock program, which in my mind will give you the ability to seek the special occurrences your looking for, and more if you have a future need. I have used Omega's products for years and think that the EOD products (Supercharts/Metastock) are fairly similar in capabilities. The interfaces differ.

    Pullbacks and breakouts have been my area of interest.

    *ATR- average true range indicator
    *BBW- bollinger band width indicator
    *HVR- historic volatility ratio indicator
    *SDI- standard deviation indicator

    Using 1 or more of the above, you can hone in on those securities that are "poised" to move. I realize this is not exactly what you were asking for and I have no idea if you can sort in Metastock based on Exchange/Industry. http://www.QP2.com is a nice program for other reasons.
    BTW - I enjoy reading about how your day went.
    The above represent my opinions and experience.
    I hope this helps.
    -Hoyler
     
  15. Hmm, but the briefing milk costs $10. It's not free, is it? Now, why buy the cow if you can steal the milk is a whole different issue. Paying for things is blue colar, but stealing them is white colar. I don't get it.

    Much more to learn ... much more :)
     
  16. No one is going to scare him away! Hitman is a survivor! I enjoy that thread as well, and I'm sure it will be packaged as a book and will be published by a major publication house. That thread is pure gold ;)

    Keep it up hitman.
     
  17. Hitman,

    I know it's been a while since you used TC2000 but it will easily do the job. The formula is:

    AVGH20 - AVGL20 > 1.5

    Then, along with any other parameters you want (like only listed stocks, average vol > 200K, etc.) you can create an EasyScan and restrict it to a particular sector. Of course you would have to do this sector by sector (as there's no way to get it to provide an overall list, sorted by sector) but it would do the job. Don't know if it's better than QP2 as I've never used that program.

    I subscribe but I can't even remember what the price is since I do it once a year, but I know it falls somewhere in between $27 - $30 per month.
     
  18. The Princess' words, exactly.
     
  19. re: Hitman
    I trade a large variety of stocks and every once in a while I need to rebuild my watch list. My criteria is NYSE, at least 200K average daily volume, and at least 1.5 point average daily range, sorted by industry name.
    --------------------------

    Here's a list of stocks in alpha order where:
    1) Exchange = NYSE
    2) 20 Day Avg Volume => 200,000
    3) 20 Day Avg High - 20 Day Avg Low => 1.5

    AIG
    AMD
    AOL
    AWE
    BAC
    C
    CD
    CPN
    CPQ
    CVS
    DIS
    EMC
    F
    GE
    GLW
    GX
    HAL
    HD
    HON
    HWP
    IBM
    JNJ
    JPM
    LOW
    LU
    MER
    MO
    MOT
    MRK
    MU
    NOK
    NT
    PCS
    PFE
    PHA
    Q
    QQQ
    RIG
    SBC
    SGP
    SLR
    SPY
    T
    TXN
    TYC
    VOD
    WAG
    WM
    WMT
    XOM

    The next generating of such list is gonna cost ya :)

    This list was generated using CyberQuant.

    MGB
     
  20. MGB (Mike?),

    I use CyberQuant but am trying to figure out how you got the 20da range portion of Hitman's criteria. Presumably you selected a "20 Day High" filter, and then somehow related it, thru delta or delta %, to "20 Day Low"??

    Anyway, if you wouldn't mind please explain how you set it up to calculate the difference. Thanks.
     
  21. Hey Magma,

    1) In the list of available filters, select 20 Day High.
    2) At the bottom, select Delta where:
    Relation is GREATER or EQUAL
    Threshold 1 is 1.5
    Quantity 1 is 20 Day Low

    You had the right idea all along.

    MGB (Michael)
     
  22. Something is definitely wrong with the above list. CRA, DNA, PGR, MMC, MMM, just to name a few are far more volatile than some of the names on the above list as far as trading ranges are concerned.

    I am subscribing to QP2, thanks for all of the suggestions.
     
  23. I use http://www.cnbc.com scanner (free) to do a similar scan looking for NAS stocks with > 2.o intraday range, > 1.5M shares per day and price $20 to $40. I reset this list about 2 times a month or when the market has moved up or down significantly. Good luck!
     
  24. CNBC was one of the first places I looked, the problem was that the daily range parameter is generated with today's data, instead of an average across last x number of days.

    This is a problem with most screening softwares on the Internet, even BEI, I prefer writing my own code and back in early 2000 when I swing traded part time I spend a lot of time with QP2, guess it is time to pick it up again.

    Who knows, I may even give swing trading a try, at least paper trade and see if I can do swing/day at same time, two different mentalities and I have to make sure they don't collide . . .
     
  25. MGB,

    Thanks for the breakdown. Had a feeling it was along those lines but hadn't really played with it yet. I like tinkering with Quant despite it's oddities (maybe you can tell me what the difference is between a "20 Day High" and a "1 Month High"). Okay, okay, one day...

    Michael, regardless of how often (or not) you post to these boards it's real nice to know you're here.

    Magna
     
  26. re: Magma
    What's the difference between a "20 Day High" and a "1 Month High"?

    "20 Day High" – Highest price the stock has reached over the last 20 trading days, including today. The "20 Day High" period includes all 20 trading days including today.

    "1 Month High" – Highest price the stock has reached over the last month, including today. You take today's date and go back to the previous month. If today is the 18th then you go back to the previous month's 18th day. Same date, different month. This is not always 20 trading days. It can more and it can be less.

    Let's look at IBM as an example and use actual data. Today is Wednesday, July 18th.

    The "20 Day High" period includes all trading days from Wednesday June 20th through Wednesday July 18th. The highest during that 20 Day period is $116.25 which occured on Thursday June 28th.

    The "1 Month High" period includes all trading days from Monday June 18th through Wednesday July 18th. The highest during that 1 Month period is $117.25 which occured on Tuesday June 19th. Notice that $116.25 is different than $117.25.

    Here's something to keep in mind...

    With "20 Day High" you get a period of 20 trading days no matter what.

    With "1 Month High" you may get a different period length each day. Let me illustrate. On February 1st, the "1 Month High" period has 23 trading days. You don't include January 1st because it's a holiday. On February 2nd, the next day, the "1 Month High" period has 24 trading days. Notice how the period length changes from 23 days to 24 days. For this reason, I prefer using the "20 Day High" since I know exactly what period I'm dealing with every time I use it.

    MGB
     
  27. MGB,

    Thanks Mike. I was actually cracking-wise since I realized the One Month High would look at about 21 days on average (and I agree about using the 20 Day High for consistency). Just seemed strange to me that Quant would include both, yet leave out so many other potentially useful filters.

    The moniker is Magna, not that lava stuff ;)
     
  28. Hitman-
    check out http://www.investertech.com There "easy select"
    site should do what you want. It used to be free, but I think there is a charge now of $180/year. They also have great java charts.
     
  29. Thanx Jperl...I am trying out Investertechs 30 day trial. I have been looking around the site and it appears worth the money. I have been using http://www.marketscreen.com But I might switch over to ivestertech if it can perform the same daily screens I usually do. I think marketscreen is a great site with a lot of variables but it is missing a few key ones, like Average Dollar Range.