Liquidity Filter

Viewing 8 posts - 1 through 8 (of 8 total)
  • #46451

    Good Day Guys

    I am in the process of developing a screener and am trying to find an effective way to filter out low liquidity stocks.

    I am thinking about using a volume filter (Average[x](volume) > 1000) and maybe a gap screener (maximum x amount of gaps in last x days).

    But I would appreciate any ideas or if someone maybe already developed a nice liquidity filter I would appreciate if you can share it.

    Thanks

    #46500

    @Nicolas, your input, and experience will be appreciated.

    #46563

    You can check the Market Capitalization with this code:

    Of course, you can adapt the ‘300000000’ to filter more or less the stocks you want to find.

    1 user thanked author for this post.
    #46615

    Thank You Nicolas.

    Only problem with that is that as you know not all tradable instruments have volume available.

    I do make use of the Market Cap column in the screener window though when sorting the results.

    However was hoping of a more versatile technique to measure liquidity using price action for example.

    #46642

    Rough early morning ideas:

    _ check how many times a short term ATR has crossed a long term averaged one within the last X periods.

    _ check Rate Of Change behavior compared to long term one.

    Without Volumes, it’s all about price VS time.

    #46654

    Great ideas! So how would we incorporate that?

    Do a few tests using known liquid and illiquid stocks and measure behavior or expected ranges using something like the below?

    ATR Crosses:

    Rate of change:

     

    #46665

    I would recommend something like this instead for the ATR crosses:

     

    1 user thanked author for this post.
    #46672

    Yes, I like that, noticed that I forgot to specify the [i] in my code (typed it out without PRT open).

    Now I just need to look up a few stocks to get an idea of an acceptable Average ATRCross value.

Viewing 8 posts - 1 through 8 (of 8 total)

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