Short Term Volatility

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  • 09/18/2016 at 9:11 AM #13218 quote
    Nicolas
    Keymaster
    Master

    OK, so here is the screener to detect falling stocks and rising ones with at least 1% loss or gain for the last 100 periods.

    rise = summation[100](Variation(close))>=1
fall = summation[100](Variation(close))<=-1

SCREENER [rise or fall]
    wolf thanked this post
    09/18/2016 at 10:09 AM #13220 quote
    wolf
    Participant
    Junior

    thank you so much! works perfectly, thank you so much for all your help.

    Have a nice weekend!

    09/18/2016 at 7:05 PM #13243 quote
    wolf
    Participant
    Junior

    Hi Nicolas, just thought of a potential issue with the code;

    I changed the % drop to 0.8% just for the test, but the code won’t screen a stock unless the stock travels the % from the first bar of summation to the last. For example, If i want to see stocks that have traveled 1% in 30 minutes, the screener will not show stock that traveled 1% in less than 30 minutes then changed direction. It’s difficult to explain but a fairly simple concept. I’ve attached an image below showing the issue.

    Can you think of a way to fix this?

    Thanks

    e.png e.png
    09/19/2016 at 8:10 AM #13259 quote
    Nicolas
    Keymaster
    Master

    Do you real time access to market data for ProScreener? Seems like this common problem of not include the last bar information here.

    09/19/2016 at 8:19 AM #13261 quote
    wolf
    Participant
    Junior

    Yes I have real time access right now, the problem is more that if a stock travels 1% in less time then the time set in the screener, the stock wont show up in the screener. e.g If im looking for stocks that have traveled 1% in 30 minutes, and stocks travels 1% in 10 minutes, then it wont show up on the screener.

    09/19/2016 at 11:06 AM #13276 quote
    Nicolas
    Keymaster
    Master

    Yes of course. Code is strict, if you want it to test something else than what it is supposed to, it will not do it obviously 🙂

    Your request were to find stocks that have drop down or rise x% from y periods ago to now. If the stock has fell and regain its loss, the screener don’t see it.

    wolf thanked this post
    09/19/2016 at 11:09 AM #13277 quote
    wolf
    Participant
    Junior

    I understand that and the code works perfectly for that use, but my question is, that is there a way to code it so It does what I want it to do, which is what I explained in my previous message.

    The reason im asking is because im not as experienced as you in this PRT code language, so I wouldn’t know how to code it but can you think of way to make it possible? 🙂

    09/20/2016 at 12:12 PM #13362 quote
    wolf
    Participant
    Junior

    Hi Nicolas,

    If you could help with me trying to make a screener that shows the stocks that have traveled 1% in under 1 hour that would be great as I don’t have as much knowledge on with the PRT code as you do.

    thanks

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Short Term Volatility


ProOrder: Automated Strategies & Backtesting

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wolf @wolf Participant
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This topic contains 22 replies,
has 2 voices, and was last updated by wolf
9 years, 5 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 09/16/2016
Status: Active
Attachments: No files
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