hi, I am backtesting couple of my systems and looking for stocks/etf that move everyday without fail atleast 50c up or down from the opening price by end of day with 1c spread. Thanks for any response.
ATR numbers are public and spreads will be based on volume. Should be pretty easy to pull from sites like yahoo finance, etc.
Why do you say ATR does not work? I use ATR(20) > 0.50 and Volume(20) > 500000 to perform my scans. Works great. I also like to keep price > 10 and < 90.
Didn't say it wouldn't work, just said it's a poor choice because there's a 66% chance that a daily TR will include an overnight gap and those are irrelevant when you are daytrading.
I use the ATR to narrow my stock universe to symbols with good movement. The watchlist is then narrowed further with other tools. For the original poster, you could try building an indicator based on the opening price and movement range (high and low): average( max( H-O, O-L), length )
From my personal experience, after comparing intraday high to low and ATR on 50+ of the most liquid stocks over 2 months, it showed an average difference of just under 5%, higher during earnings season and dropping back down in "business as usual" periods. Either way, ATR should be good enough to tell you if there is enough play within a stock to make some money. If you also want to know liquidity of the stock (for your tight bid-ask spread), there are a few different types of volume measures you could plug into this scanner. Good luck http://finviz.com/screener.ashx?v=111&f=sh_curvol_o5000,ta_averagetruerange_o0.5&ft=3
Stockfetcher.com is great for this. Its cheap, easy to use, and has a forum section where people volunteer codes and discuss similar things. you can use ADR in this case. or if you want more detailed info there are various user-made scans, that show the various % moves from the open (up or down) , in the last 100 days, and how many times in the last X amoujnt of days, it has behaved such.. you of course, enter price range, average volumes, etc.. Check the author TRO's "run forest run" thread if you do. All your needs will be met.