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Sean,
I have found that filtering out stocks with volume less than 500,000
(50 day average or so) improved my systems. In my experience I seldom
see fills worse than 1/8's off on stocks with more than 500k volume.
Actually, I use 500k on NYSE and 750 on NASDAQ, due to double counting
on nasdaq.
Allan
--- Sean Taylor <sean.taylor@xxxxxxxx> wrote:
> Hi,
>
> I'm looking to catch a short term reversal (perhaps using an
> overbought/oversold + Volatility breakout). What pre-filters should
> I use?
> i.e.
> Stocks that have traded at least X volume over Y period?
> Stocks that have a price in the range A-B?
> Stocks that have a strong trend (medium-long) in the direction I hope
> to
> catch? (not sure how to program this - to include strength index).
> Volatile stocks?
>
> Does anybody pre-filter using things like this? Bad experiences?
>
> Thanks,
> Sean
>
=====
---
Allan Havemose, Ph.D.
havemose@xxxxxxxxxx
havemose@xxxxxxxxx
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