Equity Screens

These screens are tools to help traders find stocks trading with specific characteristics and patterns, as well as finding trade setups.

Big Movers 

Highlights all stocks in our tradable universe that have made moves larger than +/- 2.5 standard deviations, based on the volatility of the last 20 trading days. These are statistically significant moves and, in almost all cases, are also moves that would stand out visually on a chart of the stock. As such, they are likely to draw attention from many traders and market participants over the following trading days.

How to use it: There is a statistical tendency for large moves in stocks to be reversed (mean reversion). Many of our clients, especially short-term traders, will look to fade these moves with tight risk controls. Conversely, these moves can sometimes highlight breakouts from consolidations or other structures that may lead to extended moves. As part of a larger system, this screen can sometimes highlight stocks that are at the beginning of extended trends. Last, with-trend and counter-trend spikes, in established trends, tend to resolve differently: counter-trend spikes tend to fail while with-trend spikes (especially those not accompanied by news) tend to lead to further continuation.

Historical Movers

Collects large (+/- 5 standard deviation) moves from the Big Movers screen over the last two weeks.

How to use it: These large moves represent significant events in the history of most of these stocks. Further filtering (e.g., visually or as an input to another system) is needed to find tradeable candidates, but one common use is to scan this list for stocks that are holding together well after the big thrust. These stocks may be setting up further thrusts in the same direction. (Note that the Big Movers screen can also be used to find mean-reverting trades, but these typically play out faster. In most cases, best uses of the Historical Movers screen involve looking for stocks that have failed to mean revert.)

In Play 

This is an “informational” scan that is not as directly actionable as the other scans, but it provides an important perspective on market action by highlighting stocks that have had an unusual increase in trading activity and volume. If you are an active stock trader or an intermediate-term investor, you should know the names on this list.

How to use it: Many market participants focus their attention on active stocks. This screen may also pick up events in individual stocks before they appear in common news sources, making this a possible “early warning” system for alert traders. Longer-term managers will also find information here about what stocks and sectors are in focus.

Extension

Shows stocks that are overextended and potentially primed for reversal.

How to use it: Short-term traders often trade overextended names by fading the moves. Discipline and risk control are key because sometimes an overextended stock can be at the beginning of a large trend move, but, on balance, there is a strong statistical edge for reversal over a large sample size.

Consecutive Closes

Shows stocks that have had multiple closes in the same direction.

How to use it: This is another measure of potential overextension or exhaustion; stocks (individual names and indexes) that have had many closes in the same direction are often primed for a short-term reversal. Note that this can also be a sign of longer-term strength, and it could be possible to use this list by noting stocks that had many upward closes followed by a pause or consolidation, and look to enter long on a further breakout.

RS Strong

Gives stocks that are the top percentiles of relative strength, ranked by a short-term, volatility-adjusted relative strength measure.

How to use it: This provides an excellent filter when combined with other fundamental and technical factors. Advisors will find great value in this list as they seek to understand leadership and which stocks are important—these are the strongest stocks in our liquid universe.

PB Buy and PB Sell

First level quantitative screens for pullback candidates

How to use it: This screen provides a first look for stocks that have made large thrusts and are in the process of pulling back–this is a good way to filter the ~8,000 traded names (of which more than 1,000 are usually liquid enough to trade) down to a much smaller universe of trading candidates. Most traders will find best uses of this screen involve judging the character of the pullback and incorporating other discretionary techniques for trade entry.

Legend:

Close—Last closing price
Change—Last trading day’s percent change
VolSpike—Volatility spike: the last day’s return as a standard deviation of the past 20 trading days. (Also called SigmaSpike.)
HSpike—Historical volatility spike (Historical Movers screen only).
KPos—Where the last close is in relation to the Keltner Channel. 0 = bottom channel and 100 = top.
RS—A front-weighted multi-period rate of change useful as a measure of relative strength when comparing assets.
52WkH and 52WkL—52 week high and low prices
C%52Wk—Close as a percent of the 52 week range: Where the last close is relative to the past 52 week range.
ATR—20 day average true range
ConsClose—Number of consecutive up or downward closes
AvgVol—Average trading volume (millions of shares)
Extension—Our proprietary overbought/oversold extension indicator

 

Tradable Universe:  Our tradable universe is pre-screened from a list of about 8,000 names for volume and trading activity, typically resulting in a universe of 900 – 1,400 liquid stocks.