Variation screener / scan for top percentile?

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  • 03/29/2021 at 5:08 PM #165657 quote
    freecat1899
    Participant
    Junior

    Hello, how would you go for making a screener for stocks that are going up at least 5% in the last 15 minutes with a volume above 100.000, minum price of 2? Would this be correct?

     

    // Variation calculation
var = (close[15] - high[0])/high[0]

// Screener
SCREENER[var > 0.05 and volume > 300000 and high >2]

    On the other hand, I was wondering is it possible to scane for top percentile gainers or losers on a timeframe? For instance, scan for the 1% stocks that are going up the most daily in the last month? Or any timeframe really.

    03/29/2021 at 5:14 PM #165658 quote
    freecat1899
    Participant
    Junior

    I run this scan and it doesn’t seem to work at all. Trying it with smaller amounts so I surely get some stocks, it shows stocks that are going down as well as up in the last 15 minutes.

    Also, the minimum volume should be of the last 15 minutes, I don’t know if this is for the day or one minute as I put it there.

    03/29/2021 at 5:29 PM #165661 quote
    robertogozzi
    Moderator
    Master

    Try this:

    Timeframe(15 minutes)
MyVol = volume > 300000
Timeframne(default)
var = ((close[15] - high[0])/high[0]) > 0.05
SCREENER[var and MyVol and high >2]
    03/29/2021 at 6:33 PM #165664 quote
    freecat1899
    Participant
    Junior

    Thanks Roberto, but it doesn’t seem to work. I modified the criteria to more feasible data and I got stocks that are going down.  Also, I think it the close period should be [1] if we are in a 15 minutes timeframe? Otherwise we’ll get the close of 15 periods ago for 15 minutes? However, I would like the timeframe to be 1 minute as I don’t want to pick the close of 15 minutes bar, just stocks that are up 3-5% in the last 15 minutes with a minimum volume.

    03/29/2021 at 6:42 PM #165665 quote
    freecat1899
    Participant
    Junior

    OK, I think I got it the formula for the variation was backwards, like this seems to be working fine:

     

    Timeframe(15 minutes)
MyVol = volume > 100000
Timeframe(default)
var = ((high[0]-close[15])/close[15]) > 0.03
SCREENER[var and MyVol and high >2]
    03/29/2021 at 6:56 PM #165667 quote
    robertogozzi
    Moderator
    Master

    Great!

    03/30/2021 at 10:21 AM #165736 quote
    freecat1899
    Participant
    Junior

    Dear Roberto, how would you go to make this same screener but since the opening? So the scanner doesn’t look at bars from previous day?

    03/30/2021 at 11:44 AM #165737 quote
    robertogozzi
    Moderator
    Master

    This is from the open of the current 15-minute bar (it’s the variation in the last 15 minutes):

    Timeframe(15 minutes)
MyVol  = volume > 100000
MyOpen = open
Timeframe(default)
var = ((high-MyOpen)/MyOpen) > 0.03
SCREENER[var and MyVol and high >2]
    03/30/2021 at 2:08 PM #165754 quote
    freecat1899
    Participant
    Junior

    Of course, thank you.

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Variation screener / scan for top percentile?


ProScreener: Market Scanners & Detection

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freecat1899 @freecat1899 Participant
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This topic contains 8 replies,
has 2 voices, and was last updated by freecat1899
4 years, 11 months ago.

Topic Details
Forum: ProScreener: Market Scanners & Detection
Language: English
Started: 03/29/2021
Status: Active
Attachments: No files
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