StockFetcher Forums · General Discussion · NEWS FILTER<< >>Post Follow-up
KSK8
453 posts
msg #145764
Ignore KSK8
modified
12/29/2018 4:25:44 PM

Everyone knows that a majority of the time unusual volume is driven by some type of news catalyst.

Price action alone does not tell us what is going on backstage most of the time. But analyzing behavior in volume can.

By exploiting unusual volume paired with price action we can manifest what type of catalyst may be transpiring without having to research it manually.
This prospect might come across as inessential but keep this in mind; "price action tells us the reaction, volume tells us the story"

Below is a filter I've composed that attempts to gauge the details of these intrinsic based phenomenons.
The intent is to give us an overview of what MAY have happened to offer us a better sense of what to speculate or possibly expect.

Now let me be clear, this won't tell us the direction of where price is going but it will give us a higher understanding of what is taking place in a security rather then relying solely on traditional price action to tell us.

This is still a work in progress and I want to inform everyone this won't find all the news nor is it 100% precise but I'd like for others to tinker with it and expand upon this concept.

The overall objective is to identify patterns that can recognize different types of catalysts.

Fetcher[

/* work in progress */

/* this filter is NOT a buy or sell signal */

set{u1, volume}
set{u2, average volume(90) 1 day ago}
set{u3, u1-u2}
set{u4, u3/u2}
set{udif, u4*100}
set{unusual_volume, count(udif > 300,1)}

set{x1, volume}
set{x2, volume 1 day ago}
set{x3, x1-x2}
set{x4, x3/x2}
set{vdif, x4*100}
set{news, count(vdif > 200,1)}

set{v1, rsi(2)}
set{v2, rsi(2) 1 day ago}
set{v3, v1-v2}
set{v4, v3/v2}
set{rdif, v4*100}


set{bull_sentiment, count(rdif > 0,1)}

set{bear_sentiment, count(rdif < 0,1)}


set{c1, max( open, close) }
set{c2, min( open, close) }
set{c3, c1 - c2 }
set{c4, CEMA(c3 , 20 ) * 3 }
set{c5, count(c3 > c4,1)}
set{c6, count(open > close,1)}
set{c7, c5*c6}
set{selloff, count(c7 > 0,1)}

set{j1, CEMA(c3 , 20 ) }
set{j2, count(c3 < j1,1)}
set{d1, count(vdif > 500,1)}
set{d2, count(Close-to-open gap is above 10%,1)}
set{d3, count(rsi(2) > 85,1)}
set{d4, d1*d2}
set{d5, d4*d3}
set{d6, j2*d5}
set{company_deal, count(d6 > 0,1)}

set{c8, count(vdif > 1000,1)}
set{c9, c7*c8}
set{panic, count(c9 > 0,1)}

/* Optional Criteria */

market is not OTCBB
close > 5
Average Volume(30) > 100000
news > 0

add column separator
add column bull_sentiment{good news}
add column news{NEWS}
do not draw news
add column bear_sentiment{bad news}
add column separator
add column company_deal{acquisition / merger / sale}
add column separator
add column selloff
add column panic
add column separator
add column unusual_volume{unusual volume}
add column separator

]



-KSK8

shillllihs
5,071 posts
msg #145765
Ignore shillllihs
modified
12/29/2018 6:10:00 PM

Upgrades and downgrades are also interesting to look at.
Stocks would be downgraded and fall 10% so they could buy cheaper for the long haul.
I used to set limit orders for 8% on select stocks. Would like to see someone do some more research on this. Worked best in a trending market.

glgene
556 posts
msg #145768
Ignore glgene
12/30/2018 3:19:46 AM

KSKA ... Very interesting script! Thank you. But one question, though: In line 2 of your executable script you build on AvgVol (90), but in the filter section you show AvgVol (30); and when drawing a graph, it shows AvgVol (30). Did you mean to intermix the 90 and 30 numbers... or what? Just curious.

Gene in FL

glgene
556 posts
msg #145815
Ignore glgene
1/1/2019 12:19:20 PM

KSKA... I would really appreciate it if you would reply to my note above (re: 30-day vs. 90-day average volume periods). Thank you.

Gene in FL

KSK8
453 posts
msg #145816
Ignore KSK8
modified
1/1/2019 1:21:04 PM

glgene,

Apologies for missing your message,

So I used the 30 period as a criteria filter for liquidity purposes. It has no correlation with the framework of this version of the filter. The 90 period however I used because whenever a repercussion to the catalyst transpires, it is usually accompanied by a large magnitude of volume, and this spurs that heavy volume above its 90 period most of the time.

-KSK8



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