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Finding #bars avail from OmniScan
Last Activity 3/22/2021 7:00 PM
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Jim Dean

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Subject : Finding #bars avail from OmniScan
Posted : 4/21/2009 7:22 AM
Post #11958

I posted about this issue several months ago, and Matthew helped me find a way of doing it that worked.

However, somewhere along the way, the method has stopped working. It's a pretty basic need - to know how "old" a stock is as a part of scanning criteria - so I hope an alternative (and more permanent) solution can be found.

The criteria formula I'm using is:

Min(V,250) >= 1000
and
LLV(250) >= 0.10
and
SymbolData.Numrec > 250

The problem comes in the final condition. This rule USED to filter out any stocks that had not been around for at least a year ... now, it filters out ALL stocks. Un-useful :~(

Please provide an alternative means for doing this.

Thanks!

P.S. Here's another interesting note - unrelated to the main question:
if I use use "Min(V,250) >= 100", many more stocks pass the filter than if I use "Min(V,250) > 100" ... I'd rest easier if someone could give an authoritative explanation for it.
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THOMAS HELGET

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/8/2021 4:47 PM
Post #31412 - In reply to #11958

Jim:

I wonder if there has been any resolution to this dilemma.

I would like to insure that all the symbols returned by my OmniScan have at least 250 bars to perform the calculations my System requires.

It's been al long time since the post - has any other solution presented itself? I tried all the things you mentions here and a few others to no avail.

Thanks,

Tom Helget
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Jim Dean

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/8/2021 4:53 PM
Post #31413 - In reply to #31412

Numrec tells you in theory what's there, but for thinly traded symbols, sometimes there are "holes". N is supposed to catch and strip those ... and as of ~2016 everything was clean ... I know since I created a routine to find ALL the historical "holes", and Cose used it to remove them. But I've no idea what's been done since then.

Maybe you could try this scan:
Sum( -(V >= 1000 and L >= 0.1), 250 ) = 250

... or if you're willing to have say two "holes", you could check if it's >= 248
... don't forget to include the minus sign ... it's important
... you could use this method with some other V or price critera
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THOMAS HELGET

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/8/2021 5:09 PM
Post #31414 - In reply to #31413

Jim:

Wow, my finger just barely got off the Enter Key.

I appreciate your super quick response!

And I'll give your suggestion a shot.

Thanks and Stay Safe,

Tom Helget
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SteveL

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 10:00 AM
Post #31415 - In reply to #31414

Tom and Jim,
Symbol.Numrec > 250 (and it's inverse: Symbol.Numrec < 250) works just fine for me:





[Edited by SteveL on 3/9/2021 10:02 AM]

Attached file : 2021-03-09_8-52-26.png (10KB - 258 downloads)
Attached file : 2021-03-09_8-56-19.png (10KB - 256 downloads)

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Jim Dean

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 10:27 AM
Post #31416 - In reply to #31415

Hi Steve

Now try those same two starting pops with just one tech formula: 1=1

Almost always for the big lists, some symbols are not really avail.

Not at my PC but my guess is that Symboldata.Numrec >= 250 doesn’t return the same count as 1=1. Presuming that you haven’t changed the Scan loading Params of course.

The thing that I was referring to earlier has to do with “holes” in the data. That is, sometimes for thinly traded stocks, or for stock that had trading halted a while, the bars for all dates in the 250 range “load” (so are a part of Numrec), but have zero volume &/or no price. The Sum() formula I suggested should eliminate those cases.
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THOMAS HELGET

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 10:48 AM
Post #31417 - In reply to #31416

Jim:

Unfortunately your "Sum" formula doesn't do the trick for me.

Tom
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Jim Dean

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 11:45 AM
Post #31418 - In reply to #31417

Why not?

You can also remove the = 250 and put the formula into Sort
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THOMAS HELGET

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 12:04 PM
Post #31419 - In reply to #31418

Jim:

OK, I'll give that a try.

The first instance, = 250, returns only 1 symbol.

The second instance -250 in the Sort (Ascending or Descending) returns the original number of symbols unmodified.

Tom Helget

[Edited by THOMAS HELGET on 3/9/2021 12:11 PM]

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SteveL

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 12:07 PM
Post #31420 - In reply to #31416

Jim and Tom,
I guess I missed the point of your prior comments.

Jim,
Your point of using 1=1 is to see the total starting population. And then here are the consequences of each subsequent filter. The "Sum(...)" filter eliminates 74 symbols from the list.



[Edited by SteveL on 3/9/2021 12:08 PM]

Attached file : 2021-03-09_11-02-13.png (9KB - 251 downloads)

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Jim Dean

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 12:38 PM
Post #31421 - In reply to #31420

Tom - I’m confused what you did to just get one symbol.

Steve - the Numrec count is the number of bars in the data array. The Sum formula returns the number of bars that have meaningful volume and price info. The 1=1 check is a teick I learned to reject symbols that have been delisted or for some other reason aren’t legit.
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THOMAS HELGET

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 12:49 PM
Post #31422 - In reply to #31421

Jim:

Here you go:



My goal here was to obtain just those weeklies with at least a year's data to analyze further.

Tom

[Edited by THOMAS HELGET on 3/9/2021 12:50 PM]

Attached file : One Symbol Returned.jpg (41KB - 241 downloads)

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Jim Dean

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 2:17 PM
Post #31423 - In reply to #31422

If you plot some of the symbols that were blocked, is their volume or price outside those ranges for all days? If so, I don’t understand.

Try removing the rule and instead put it in Sort, without the =250, to see # days that pass for the 144 that made it thru the prior test.
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THOMAS HELGET

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 2:38 PM
Post #31424 - In reply to #31423

Jim:

MRNA was the only symbol to make it through on the above = 250 scan.

Symbols that were blocked were APPL, AMD, CAT - well, I hope you get the picture.

Putting it in the Sort Value and sorting Ascending or Descending I get:



Now yeah, I know you noted that all these got through because I set the Select Top Value to greater than my Starting Population, but the whole idea here was to pare down the symbols returned as ten of them (e.g. XPEV, PLTR, DKNG, etc.) did not trade at least 250 days. I really didn't much care if a day or two were skipped - I just wanted enough data to calculate a one-year Linear Regression line.

Tom Helget


[Edited by THOMAS HELGET on 3/9/2021 2:39 PM]

Attached file : Sort Value.jpg (76KB - 238 downloads)

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Jim Dean

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 2:43 PM
Post #31425 - In reply to #31424

Ahhhh. Ok. Your final paragraph is entirely different than what the original post was referencing (the old scan from 2009).

I can’t see a snap of what got through or the values.

I’ve got to do some other stuff now but the Sum() formula should work if you just adjust how many days you require hits from (rhs of =), and the recentness required ( the ,250 )
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THOMAS HELGET

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 2:49 PM
Post #31426 - In reply to #31425

Jim:

Actually I would have thought that your original would have fit the bill with what I wanted to accomplish from what you just said unless I don't understand your meaning:

"Maybe you could try this scan:
Sum( -(V >= 1000 and L >= 0.1), 250 ) = 250"

Tom Helget


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Jim Dean

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 3:39 PM
Post #31427 - In reply to #31426

Please spell out precisely what you want to do. I can't hit a moving target. Thanks.
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THOMAS HELGET

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 3:54 PM
Post #31428 - In reply to #31427

Jim:

I want to narrow down those Stocks and ETFs with weekly options that have a close above $10 and average put and call volume over the last 21 days greater than 10000 contracts each and have traded every day in the last trading year (call it 250 bars). I want to exclude a stock or ETF if it has traded less than 250 bars because I won't have enough data to calculate a "one-year" Linear Regression Slope and Channel from it.

I hope that is clear and I am sorry if it seemed to be off-topic of the thread but I thought I was close enough in my approach to continue on in it.

Thanks,

Tom Helget

[Edited by THOMAS HELGET on 3/9/2021 3:55 PM]

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Jim Dean

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 4:15 PM
Post #31429 - In reply to #31428

"Traded every day" means V > 0 for 250 successive bars.

LLV(V,250) > 0 should do it, tho crude
Sum(-(V > 0),250) =250 also should do it.

The logic of those two is correct. Symbols that have ANY day in the past 250 that has a volume of zero will NOT pass, since no volume means no trading.
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SteveL

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 4:40 PM
Post #31430 - In reply to #31421

Jim wrote: "The 1=1 check is a trick I learned to reject symbols that have been delisted or for some other reason aren’t legit."

Interesting:


[Edited by SteveL on 3/9/2021 4:41 PM]

Attached file : 2021-03-09_15-38-14.png (4KB - 208 downloads)

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THOMAS HELGET

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 4:45 PM
Post #31431 - In reply to #31429

Jim:

I love the impeccable logic of SUM(-(V > 0), 250) = 250 and before I even came here I tried things similar. BUT:



Oh, and although I didn't take a screen shot of it LLV(V,250) > 0 returns all 147 Symbols.

Tom Helget

[Edited by THOMAS HELGET on 3/9/2021 4:49 PM]

Attached file : Impeccable Logic.jpg (38KB - 207 downloads)

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Jim Dean

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 4:48 PM
Post #31432 - In reply to #31431

Steve: Yup. Interesting, ain't it? Alternative to "1=1" formula is "True"

Tom: I see. Yes it's weird. Did you try LLV(V,250) > 0?
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THOMAS HELGET

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 4:50 PM
Post #31433 - In reply to #31432

Jim:

Sure did - added it to the above.

Tom
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Jim Dean

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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 4:54 PM
Post #31434 - In reply to #31433

re your post 31424, can you please attach a snap of the resulting symbols on the left, including the sort value column

and ... not sure what "added it to the above" means. did the LLV approach also yield just one symbol?

Maybe test just 240 days, or maybe 50 days, to see if that changes things.

Maybe try: Sum( -(C/C = 1), 200) = 200
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Subject : RE: Finding #bars avail from OmniScan
Posted : 3/9/2021 4:58 PM
Post #31435 - In reply to #31433

Tom,
I think I've done the same thing that you tried:


[Edited by SteveL on 3/9/2021 5:11 PM]

Attached file : 2021-03-09_15-56-28.png (9KB - 28 downloads)
Attached file : 2021-03-09_16-08-26.png (8KB - 178 downloads)

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