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Hi Dick - You can try this and see if it might be useful for you. It started
out as a simple volume filter but I have added things over the years
including several filtering and position sizing options. Feel free to ask if
you have any questions.
Steve
----- Original Message -----
From: "areehoi" <rhoierman@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, January 16, 2007 12:40 PM
Subject: [amibroker] Volume relative to price
I am trying to develop a "volume" filter that can find and then allow
one to delete stocks with volume that is "out of whack" with price.
There should be sufficient volume in relation to price that a
relatively small percent couldn't materially affect the price. For
example if a stock was trading @ $3.50 and had a volume of 350,000
total money flow would be $1,225,000 (price *volume). Theoretically,
a buy or sell as low as 10% ($122,500) could materially affect the
price. At the other end of the scale would be high priced stocks like
Berkshire Hathaway, Google, etc. where the volume price relationship
is irrelevant. For instance BKR-A price is around $110,000 per share
with a volume of less than 30,000 (probably mostly institutional).
The question is what percent should be used to insure you are not
getting involved with a stock that could be easily manipulated or
insufficient volume for serious trading.
A similar definition would be "Money Flow" . A Volume-weighted version
of the relative strength index, but instead of using up closes vs.
down closes, Money Flow compares the current interval's average price
to the previous interval's average price and then weighs the average
price by volume to calculate money flow. The ratio of the summed
positive and negative money flows are then normalized to be on a scale
of 0-100.
I've normally deleted stock with less than 100,000 volume but realize
some excellent stocks have probably been eliminated.
I have not seen any formulas in the AB library, files or other places
that addresses this situation. Any ideas how to develop a formula
that could eliminate such stocks from an exploration/scan would be
most appreciated. Thanks
Dick H
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