Biggest intraday range scan

[zeek]

I am interested to build a scan to find stocks with the biggest intraday price range over x amount of days lookback, for example last 30days.

Is this possible to code as a scan condition somehow?

 

[RyteSyde]

are you just wanting the average true ranges? Like AMZN moves 95.3 pts a day on average over the last 14 days, GOOGL is 66.04, TSLA 73.13. That type of info?

 

[zeek]

I am looking for stocks that typically move more than 5% per day based on a 30day average and the daily average volume should be at least 1million shares traded.

So a combination of average day range & average daily volume based on last 30days.

 

[drasp]

https://usethinkscript.com/threads/volatility-scan-indicator-for-thinkorswim.8622/#post-82069

A good scan I made a while back

 

[zeek]

https://usethinkscript.com/threads/volatility-scan-indicator-for-thinkorswim.8622/#post-82069

A good scan I made a while back

Thanks, i will have a look at this.

 

[Bender645]

are you just wanting the average true ranges? Like AMZN moves 95.3 pts a day on average over the last 14 days, GOOGL is 66.04, TSLA 73.13. That type of info?

RyteSyde - I am looking for the exact info you describe. Any suggestions?

 

[RyteSyde]

this is a label I made and use. 14 day average true range and how much it's moved for the day. When under 60% the label is green, above 90 it's grey, else orange.

declare upper;

defineGlobalColor("ATR Low", color.green);
defineGlobalColor("ATR Mid", color.orange);
defineGlobalColor("ATR High", color.gray);

input ATRLength = 14;
input DRLow = 60;
input DRMid = 90;
def averagetype = AverageType.WILDERS;
def BasePeriod = AggregationPeriod.DAY;

def ATR = MovingAverage (averagetype, TrueRange(high(period = BasePeriod)[1], close(period = BasePeriod)[1], low(period = BasePeriod)[1]), ATRLength);

def Today_High = Highest(high(period = baseperiod)[0], 1);
def Today_Low = Lowest(low(period =baseperiod)[0], 1);

def DR = Today_High - Today_Low;
def DRP = Round((DR/ATR)*100,2);

AddLabel(yes, "ATR: $" + round(ATR,2) + " • T: $" + Round(DR , 2) + " (" + DRP +"%)",  if DRP < DRLow then GlobalColor("ATR Low") else if DRP > DRMid then GlobalColor("ATR High") else GlobalColor("ATR Mid"));