[EDIT: this scan has since evolved, and is now posted weekly to the Stock Market Scans Area ]
This week’s results from my stock screen to help me identify which stocks are worth the most attention. As with last week, here were my criteria (the only thing different this week is that I now take the top two values out, rather than just one):
- Stock recently trading between $10 and $80. Below $80 I can buy lots of shares. Below $10 tends to get dangerous, in my opinion, if they also meet the intraday range criteria that I’ll get to in a second.
- Stock typically trading at least a million shares a day over the last 10 days. I define “typically” as the average of the volumes with the two highest values taken out. This keeps a short spike from making a stock look too good.
- Stock typically trading across at least $1 intraday over the last 10 days. That is, the average of (high - low), with the 2 largest values taken out. As a daytrader, I don’t care about the ATR or the close-to-close range, since by definition I can’t capture overnight gaps. This way, I find stocks that are moving during the day.
This yields about 250 stocks across NYSE and Nasdaq, so I take that output, and retain the top 50 in terms of their daily range. That is the list below. I plan to post an updated list every week. If you think different or more criteria would be better, just say so and I may make adjustments. The only goal is to find stocks that are good for daytrading–beyond that anything goes.
If you are interested, it’s written in haskell and runs on daily data from EODData.com.
I’ve looked at a few free web-based stock screens, and I couldn’t find any that let me filter on criteria like these. Maybe I just never found the right one, but most of them seem to like to filter on P/E or RSI or 3-Month Volume. I just want liquid stocks that move intraday!
This Week’s List
| Stock | Typical Volume |
Typcial IntraDay Range |
|---|---|---|
| APA | 4481063 | $1.93 |
| ATI | 3738150 | $3.34 |
| BA | 4428400 | $2.16 |
| BHI | 4550638 | $2.87 |
| BIDU | 3333975 | $4.52 |
| BNI | 3527150 | $2.47 |
| BTU | 5491800 | $2.58 |
| CAT | 5167575 | $1.92 |
| CHRW | 1173863 | $1.90 |
| CSX | 3278850 | $1.98 |
| CTX | 2234625 | $1.92 |
| CYMI | 1323913 | $2.04 |
| DE | 2863538 | $2.32 |
| DO | 2778388 | $3.08 |
| EOG | 3020538 | $2.43 |
| EXPD | 1783638 | $2.02 |
| FCX | 4481038 | $2.47 |
| FORM | 1068963 | $2.41 |
| GRP | 1853588 | $1.97 |
| HANS | 3520738 | $2.23 |
| HES | 2747338 | $2.30 |
| ICE | 1379688 | $2.40 |
| JCI | 1555975 | $1.89 |
| JOYG | 2220000 | $2.36 |
| LCC | 1179313 | $1.97 |
| LVS | 2511563 | $3.49 |
| NE | 2442613 | $2.80 |
| NIHD | 1474663 | $1.89 |
| NOV | 2723575 | $2.18 |
| NTRI | 1976688 | $2.72 |
| NUE | 4690825 | $2.20 |
| NYX | 1443738 | $2.44 |
| OII | 1222100 | $2.12 |
| RACK | 1204675 | $2.73 |
| RIG | 6005638 | $2.36 |
| ROK | 1249000 | $1.99 |
| RTI | 1021113 | $2.49 |
| SLAB | 1771363 | $1.89 |
| SLB | 9971300 | $2.75 |
| STLD | 1755113 | $2.76 |
| SU | 2274575 | $2.41 |
| SUN | 1940838 | $2.11 |
| TEX | 1665925 | $2.08 |
| TSO | 1392975 | $2.39 |
| WCC | 1353688 | $2.54 |
| WFR | 4831963 | $2.11 |
| WFT | 4259988 | $1.91 |
| WHR | 1044213 | $1.95 |
| WYNN | 1134438 | $2.71 |
| X | 5755350 | $2.68 |
August 1st, 2006 at 1:31 pm
Thanks for the list. Good idea.
A $1 intraday range for a $10 stock is a lot different than a $1 range for an $80 stock - is there any way to get the list by percent?
thanks
August 1st, 2006 at 1:47 pm
stockcharts[dot]com will allow members to make custom scans. You can scan average volume and average range over a period of time and add a clause for prices, you can even sort by exchange.
I use their charts and really like the features, but your mileage may vary.
August 1st, 2006 at 4:40 pm
@nodoodahs: That’s interesting. I was using them to draw P&F charts recently, but I can’t access their scans since I am not a member.
August 1st, 2006 at 4:52 pm
@Ugly: You are right, of course. The reason I scanned for a minimum absolute range is because it’s harder for me to catch a move inside a 30 cent range, even if that’s a 3% move in the stock.
Maybe I should go by percentages, and then grab the top 50 by volume, or something. Or grab them by $1+ moves, but then cull it down to 50 based on percentages. I’ll play with it some, this weekend. Thanks!
August 1st, 2006 at 4:54 pm
Ugly,
Honestly, I’m not getting paid for this. But, stockcharts[dot]com with the custom scan can do simple mathematical equations. So you can look for a range times some multiple of the close and convert that to percentages.
If anyone does decide to use them, tho’, if you say I “referred” you I could get a free couple of months on my ’scrip. I’ve been using them for about 4 months now and don’t know how I got by without it.
August 2nd, 2006 at 7:20 am
businessweek.com has an excellent search engine tool powered by Telexscan. It has many free features that includes what you are looking for such as daily range (in $ and %). Here’s the link:
http://prosearch.businessweek.com/businessweek/general_free_search.html?mode=advanced
August 2nd, 2006 at 7:35 am
@Stockman, it does seem like one of the better free scans I’ve seen. Thanks for pointing it out. I’m glad I wrote my own, though… I can try out all kinds of wacky criteria, now! :-)
August 2nd, 2006 at 8:30 am
Stockman, cool scanner! Gotta run go play!
August 2nd, 2006 at 9:11 am
Incidently, if I change the $1 range criterion so it looks at typical % intraday moves instead, I get this list for this week:
ACI, AFFX, AKAM, AKS, AQNT, ATHR, ATI, BIDU, BMHC, BTU, CAL, CNC, CNX, CYMI, DBRN, ELN, EXP, EXPD, FCL, FORM, HANS, HOTT, ISSX, JBLU, JOYG, KOMG, LEA, LVS, MEE, MRVL, NTRI, NVDA, NVT, PEIX, PLXS, RACK, RBAK, RMBS, RTI, SIMG, SIRF, SLAB, SLW, STLD, TIE, TRID, UAUA, WFR, XMSR, ZRAN
Right off, it’s easy to notice stronger Nasdaq presence in this version of the list. Next week’s list may be a hybrid set, like, top 50 by %, but which must move by at least 40 cents regardless of price, or something.
August 2nd, 2006 at 11:47 am
I use stockfetcher.com. It’s about 10 bucks a month. I use it because it has hundreds of premade scans (e.g. crossing 200 day moving average) but more importantly allows me to “roll my own” - EMA(8) crossed over EMA(21) 3 days ago and close is greater than 200 day moving average and shape is a hammer and close is between 9.50 and 85 and average volume(5, 10, 20, 30) is n n1 n2 n3 (all in the same filter) etc etc etc.
Trust me - it permits every possible combination of technical indicator you would care to try. If you read about it somewhere you can do it there.
Also permits backtesting of the filters which is neat but better yet once you get your backtested results you can go in and look at all of the stocks picked during the backtest period (you choose the period).
I don’t get anything from anyone using that site on my recommendation but I recommend it highly.
August 3rd, 2006 at 6:44 am
Thanks for the suggestions. And thanks Richard for the list by %. If you could post this it would be awesome. How about 100 instead of 50?
Thanks!
August 3rd, 2006 at 6:55 am
Ok, 100 it is. After looking at them for the last two days, I think I’m partial to the % list over my original one right now. I overdid it, I think, trying to get pure cent movement.
I’ll start posting them sorted by percent, as well, so it’s easy to just watch like the top 10 if that’s all you want to do.
I can also post them in several formats. Like, if people’s platforms like comma separated lists, I can put that at the bottom of the post, or something… just tell me what you’d like.
August 3rd, 2006 at 2:46 pm
I like the CSV idea. And sorting by percentage is great. Could you include closing price on the day of the trade? Thanks.
August 4th, 2006 at 5:41 am
Richard - thanks, man. I may start using your % list instead of the top alpha list for trading. One other thing - I would prefer to see no $80 limit on the top. And as for format, CSV or anything that I can easily copy and paste would be ideal.
Thanks!
August 4th, 2006 at 7:08 am
@Ugly, sure, no problem. I’ll see what removing the $80 cap does to me… I don’t have the kind of leverage you do! :-)
I assume people want CSV of just the stock names, and not a CSV version of the table, right?
August 4th, 2006 at 8:27 am
cut and paste version would be just fine too. But I’d like to see the price as I too am leverage-deprived.