Orderly Stock Price Changes

Discussion in 'Stocks' started by VTTrader, Apr 17, 2006.

  1. VTTrader


    I'm trying to find securities which generally exhibit 'smooth', 'orderly' price change intraday. The ideal would be a stock whose typical 5 minute bar shows a fairly small range, and whose daily range tends to be one percent or more. I know that's quite vague: I guess I'm looking for securities which exhibit a fairly active daily range, but which do so in an orderly fashion, rather than showing jumps and gaps in price. The 5 min graph, in other words, should show a series of small bars overlapping each other, rather than a 'sloppy' set of wildly swinging bars, or worse still gapping and jumping all over the place. AMD's 5 minute last Thursday would be a typical example, while COKE would be an example of what I DON'T want.

    CSCO has a current beta of 1.99; its 5 min chart shows the sort of 'smooth progression' I want. MSFT, on the other hand, has a beta of only 1.23, but its 5 min bars tend to show greater (percentage-wise) range, and are less 'orderly'.

    My questions:

    Do you find volume to be the primary determinant in how smoothly a stock moves, ie the greater the daily average volume, the more smoothly price changes?

    Second, do you find daily beta to be the primary determinant in daily range, in the range of each 5 minute bar, both or neither? I'd rather see a series of many small-range 5 min bars comprising a large daily range than, say, a bunch of wide-range 5 min bars which end up creating the same daily range, but end up 'all over the map' doing so.

  2. VTTrader


    I guess what I'm describing is 'noise'--the random price swings within a 5 minute bar that tend to obscure the overall trend across several bars (if there is one), and which tend to give 'fake-out' signals to get in, or just as bad, trip off a stop, only to then see the price move on up (or down) in the direction I wanted.

    I'm looking at the Heikin-Ashi candlestick method to filter out some of this noise. Any other suggestions welcome!
  3. Consider using line-charts as a "smoothing" device.