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Average Volume and Range Technical Scan...
Last Activity 2/4/2018 9:44 AM
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Craig B

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Posts: 16

Joined: 4/21/2006
Location: Brandon, FL

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Subject : Average Volume and Range Technical Scan...
Posted : 3/29/2017 6:34 AM
Post #40887

I'm trying to create a scan that finds stocks/ETF's that have the following criteria met:
- Todays Volume is 3 times higher than the average volume of the last 66 trading days
and...
- Todays range is 5 times higher than the average daily trading range over the past 66 days.
I created the following but it doesn't seem to work: (or I can't verify that it works)
(V> 5*AVG(V,66) AND (H-L)>3*AVG(H-L,66))
Should I be using ATR instead?
Can someone suggest a better forumula for this? thanks!
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Jim Dean

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Subject : RE: Average Volume and Range Technical Scan...
Posted : 3/29/2017 6:58 AM
Post #40888 - In reply to #40887

What you have is very close to correct. You don't need the outside paren's and you probably should not include today's values in the window. I don't use AVG so I'm not sure if its syntax - it might require a param to say what kind of avg. so I've substituted SMA:

V > 5*SMA(V,66)[1] AND (H-L) > 3*SMA(H-L,66)[1]

TR is a different thing than H-L, and wilder's averaging used by ATR is very different than SMA, so unless you want true range (includes gaps) and very slow responding infinite-series averaging, I'd stick with the existing approach.


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