MOMENTUM BREAKOUT SCAN
I wrote a QUOTE+ scan program to detect stocks breaking out of a narrow trading range (15%) with good volumn. The program looks for a stock trading in a 15 percent range during the last 22 days (1 month). When the breakout occurs, I look for the breakout range to exceed the average of the previous 9 day ranges and exceeds the stock highest close during the previous 22 days (3 months). The stock must also exceed the highest high during the past 66 days (3 months). The breakout volumn must exceed a certain threshold before the stock is considered. I run this scan on my DX486/33 and takes 1 hour and 15 minutes on the QUOTE+ 11,000 stock database. I'm now looking for a P200 computer. At the present time, the program selects about 30 stocks every night. 90 percent look quite attractive and I place these in a watch list with comments. I review these and select what I feel are good candidates. I like stocks that are in a tight trading range suggesting little interest in the stock. Breakout with high volumn may suggest investor interest, pending news or a new product.
// MOMENTUM BREAKOUT
// Find all stocks breaking out of a 22 day long 15% range. Breakout // magnitude must exceed average of previous 9 trading day ranges
AllGroup
exchange amex,nyse,nasdaq
integer A,B,C,D,E,F,G,H,I,J
float W
Comment = "Momentum breakout "
Close(0) >= 2 // Stock equal to or greater than $2
close(0)<=40 // $40 or less stock
Close( 0 ) > Max( -1 , -23 , cl ) // exceeds highest close in the last 22 trading days
Min( -1 , -23 , cl ) >= Max( -1 , -23 , cl ) * .85 //The low is at least 85% of the high //over 22 days
Vol(0) > AvgVol(-1,-23) * 2 // Volume exceeds previous 22 day by 100%
AvgVol( 0,-21) >= 100 // Avg volume at least 10,000 shares over last 22 days
A :=range(0) // Breakout range exceeds avg of 9 previous day ranges
B :=range(-1)
C :=range(-2)
D :=range(-3)
E :=range(-4)
F :=range(-5)
G :=range(-6)
H :=range(-7)
I :=range(-8)
J :=range(-9)
W :=(B+C+D+E+F+G+H+I+J)/9
A>=W
close(0)>=max(-1,-67,hi) // present close exceeds previous 66 day //stock high
Try this one out and make comments:
Richard Lockie
PS: Will post my one day reversal scan program today or tonight |
