Scan range bound stocks where price is either close to top or bottom of the range

Utrecht

New member
Hello

I searched the forum for what I want but couldn't find anything. I would like to create a scan which searches for symbols which are trading in a range on Daily aggregation. Then the current price should be, let's say 1% close to the upper or lower band. For example, RTY futures or IWM the RTY ETF is actually trading the last 11 Months between 2140 and 2340. However, in October price broke to the upside and is trading again in the range after it tested yesterday the botttom of the range and rejected nicely. The idea is just to fade the price back to the mid of the range.

I think the issue comes on how to define when a stock is in a range. Any ideas?
 
Solution
You could use linear regression with standard deviation channels and do a scan for things within a certain percentage of the distance between the upper band and the lower band. You could conceivably also include a filter so that if the linear regression now was within some percentage of the linear regression slope line at a point in the past (say < 5%) you could determine that the slope was largely flat over the period of the linear regression and therefore assume that the instrument you were looking at has been trading within a flat range long-term.

Just my 2.8¢, adjusted for inflation

-mashume

P.S. There is no code here, since this is just an idea sketch and putting it all together is considerably more work than it's worth if this...
You could use linear regression with standard deviation channels and do a scan for things within a certain percentage of the distance between the upper band and the lower band. You could conceivably also include a filter so that if the linear regression now was within some percentage of the linear regression slope line at a point in the past (say < 5%) you could determine that the slope was largely flat over the period of the linear regression and therefore assume that the instrument you were looking at has been trading within a flat range long-term.

Just my 2.8¢, adjusted for inflation

-mashume

P.S. There is no code here, since this is just an idea sketch and putting it all together is considerably more work than it's worth if this isn't a good direction for your intents. :cool:
 
Solution
Hello

I searched the forum for what I want but couldn't find anything. I would like to create a scan which searches for symbols which are trading in a range on Daily aggregation. Then the current price should be, let's say 1% close to the upper or lower band. For example, RTY futures or IWM the RTY ETF is actually trading the last 11 Months between 2140 and 2340. However, in October price broke to the upside and is trading again in the range after it tested yesterday the botttom of the range and rejected nicely. The idea is just to fade the price back to the mid of the range.

I think the issue comes on how to define when a stock is in a range. Any ideas?
try reading through this thread:
https://usethinkscript.com/threads/help-with-linear-regression-scanner.5912/
 

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