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I use a volume filter for finding illiquid stocks and compare this to
something that has 100% bars per days like an index. I just use a period of
120 days, or barcount for recent listings
Here is what I use
//EXPLORATION FOR DAILY WATCHLIST
//SCAN ON QT WATCHLIST
//13 OCT 2003
//LIMITS
Period = Min(BarCount,120);
ActivePercent = 0.95;//set the minimum percent of active days
//Base number of trading days during period is allords index
BaseCount = round( Sum( Foreign("XAO","H")!=Foreign("XAO","L"), period ) );
Vcount = BaseCount * ActivePercent;
//Ticker activity
Count = Sum(V!=0,period);
Filter = Count >= Vcount;
You could turn this around and find those stocks with low liquidity and put
these into a watchlist and set this watchlist into your exclude filter in AA
window
Filter = Count < Vcount;
Cheers,
Graham
http://e-wire.net.au/~eb_kavan/
-----Original Message-----
From: areehoi [mailto:hoierman@xxxxxxx]
Sent: Friday, May 14, 2004 9:17 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Stocks without Volume
Hi all,
I've note quite a few stocks on my US Stocks database that trade
infrequently. One can tell this by noting NO Volume for several days
or weeks at a time. I would like to delete these stocks from my
database but haven't found an easy way to find them and delete
accordingly. The Database Purifier tool does not have any provision
for volume analysis to find and deleting such stocks. Has anyone
found a way to do this?? Thanks for your help.
Dick H.
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