I added a minimal (25K) avgVol filter, milesov, and agree that it weeds out some real clunkers -- see, for example, the appended.
Might be most useful IMO as a watch list; clearly "extreme highs in cci values should result in a good probability of significant future price" volatility -- take a look at the 63-day backtest results in my post to Doug.
Bob ------ Symbol,maxCCI,maxCl,Cl(maxCCI),date(maxCCI) BYD ,440.67, 23.75, 4.19,02/17/1999 CAMD ,388.94, 11.62, 3.31,02/22/1999 CHR ,325.13, 34.62, 16.00,02/19/1999 CLRS ,365.33, 9.62, 3.94,02/22/1999 FACO ,363.50, 23.67, 5.69,02/10/1999 GZMO ,329.52, 7.75, 4.62,02/11/1999 MITK ,361.08, 5.88, 1.75,02/08/1999 NASI ,352.53, 30.50, 8.50,02/22/1999 OTL ,242.34, 33.50, 14.12,02/11/1999 PMRT ,370.98, 5.50, 2.88,02/08/1999 PRMA ,375.80, 35.25, 12.81,02/22/1999 TND ,123.28, 31.12, 16.50,02/18/1999 TSX ,326.03, 17.06, 9.50,02/22/1999 |