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Bill what indicator/formula do you use for volatility and are you using MS
Explorer? If so could you share you share your exploration with the group.
Thanks.
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-----Original Message-----
From: Bill Coward <wrcoward@xxxxxxxxx>
To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
Date: Wednesday, December 16, 1998 6:32 AM
Subject: Re: TC2000 vs QP2
>Cab,
>
>I'm currently using a scan that includes only NYSE stocks, Volatility value
>61 and higher, Price value 13.75 and higher, and Volume-5day value 541 and
>higher. This currently produces 468 stocks. I use this pool for both long
>and short picks. I've found a direct correlation between volatility
>ratings and average daily returns.
>
>I stopped using NASDAQ stocks because of their higher intraday volatility
>and hitting my stops more frequently. However, I'm revisiting this issue
>and am starting to do some testing with another TC2000 scan which includes
>both NYSE and NASDAQ stocks. The Price and Volume values are the same as
>above but the Volatility value is 75 and higher. This scan produces almost
>800 stocks. I did a short-trades-only backtest using TechniFilter from
>1/1/93 through the present on both pools with no stops but exiting after
>one day. The pool with the higher Volatility values produced an average
>daily return 33% higher than the one with lower values. I suspected this
>was due to higher volatility NASDAQ stocks, but I was wrong. Using Excel
>to get separate stats on each group based on the length of the ticker
>symbol (NYSE = 1-3, NASDAQ > 3), the returns for both were virtually
>identical. I plan to adjust my stops to take advantage of the benefits of
>higher volatility.
>
>Good luck.
>
>Bill
>
>----------
>> From: cvinton <cvinton@xxxxxxxxxxxxxx>
>> To: L_MetaStock <metastock@xxxxxxxxxxxxxxxxxxxx>
>> Subject: Re: TC2000 vs QP2
>> Date: Sunday, December 13, 1998 12:15 PM
>>
>> "Bill Coward" <wrcoward@xxxxxxxxx> wrote:
>>
>> > I use TC2000 to filter at
>> > a gross level stocks I'm interested in. These are stocks on the NYSE
>> > having the highest volatility with certain price and volume
>> > characteristics. This gives me a pool of about 500 stocks to work
>with.
>>
>> Bill,
>>
>> What particular volatility, price, & volume characteristics are you
>> looking for?
>>
>> I'm looking for a good initial screen for stocks ...
>>
>> Thanks,
>>
>> Cab Vinton
>>
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