I have not of late, if I have ever, been making many contributions of value. Here is something I dreamt up while listening to Dave Allman's interview of Connie Brown. The purpose is to find stocks which will move in either direction, but do so rapidly. My firsts filters were performed on NYSE stocks on June 2, 2003. Only stocks on June 2 with a close above 2.0 and a moving average of volume above 100,000 were accepted. The formula for measuring volatility is this: [ ATR(20) / MA(C,20) ] * [ HHV(H,20) / LLV(L,20) ] = "RBVol" The greater the value, the greater the volatility. In english, you take a twenty period Average True Range and divide by a simple moving average of the close. You then mulitiply that value by the highest high over the twenty bars divided by the lowest low over twenty bars. Testing went as follows: Group 1: Filter performed on aforementioned universe where only stocks with an RBVol greater than 0.1 and less than 10 were accepted. 37 stocks met the criteria. Group 2-5: Groups of 24 randomly selected from aforementioned universe. Calculated for each stock was the absolute percentage change between June 2, 2003 and twenty bars into the future (roughly July 2, 2003). Group 1 has an average absolute percentage change of 15.9% with 8 stocks changing less than 5.5% (22%). Groups 2-5 have average absolute percentage changes of 5.9, 5.4, 3.7, & 7.0 (avg.: 5.5). I just started working with this, so more testing is needed. There are some anomolies which may have to do with the quality of my data. (One stock looks to have undergone an unadjusted split) Also, there are a few stocks with closing prices below $5 which underwent a decline in price. Since there are trading restrictions on shorting such issues they should probably not be included.