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Howard,
One way to measure intraday movement is to simply plot ATR(average true
range). Most indicator packages have it. If your TA software allows
indicator construction, make an indicator that divides ATR by the
closing price. I have typically focused attention on the Dow Ind.avg and
have noticed that last year's ATR of about 60 points is now more like
200 points. Definitly more intra-day trading opps.
ATR/close gives a percentage move which can be used to scan for the
"wild swingers" that will give you the biggeest bang for the buck on
individual stocks or futures. I used to do that with Metastock's
explorer.
For those who may use this for selecting stocks or futures, additional
factors to consider are liquidity and price.
Liquidity- better score for more liquid stocks(obvious)
Price- for equivalent percentage intraday swings, higher price is
better. Why, smaller position in shares on high price stock easier to
move in and out of and relative spread between bid and ask is typically
narrower on a higher priced issue. ex.- $0.50 atr on $10 stock = $5 on
$100 stock. a 1/16 spread on a $10 stock equal to $0.625 spread on $100
stock(most large caps in us trading with 1/16 or 1/8 spread even well
above $100). Results in muchhhhhh less slippage on higher priced stocks.
Rob:)
Howard Huang wrote:
>
> I was looking back at EOD SP charts for a year and it seemed to me that.... the average spread between the daily high and low has
increased. ...
I was curious if their is a way to track and chart magnitude movements
as a
> proportion of the overall SP level on a daily basis. Also, are there more
> several magnitude clusters for any given day.
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