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Thursday, November 30, 2006

Scanning for gaps...

Estocastica outlines how he scans for gaps in "Comments" on the last post.

note - make sure you visit his blog

I have actually simplified my scanning process, and I now only use Trade-Ideas. Here are the details of what I do:

I configure two "Alert Windows" - one window for stocks below $50, and one window for stocks above $50. For the below $50 window, I set the parameters to find Gaps Up and Gaps Down of 2% minimum, and Average Daily Volume of 100,000 minimum. For the above $50 window, I set the parameters to find Gaps Up and Gaps Down of 1% minimum, and Average Daily Volume of 100,000 minimum.

At 9:45 EST (15 minutes after the market opens), I open the "Alert Windows" and click the "History" link. Trade-Ideas then lists all of the stocks that meet that criteria for the morning. I do an export to Excel, and plug the stocks into my watchlist; it is fast and easy.

I have to stress, I am using Trade-Ideas in a VERY limited way. I am probably using 1/10 of 1% of the functionality their software encompasses. I said earlier this year:

"[Trade-Ideas has] a quality product, and I have had fun experimenting with it. The bottom-line is that you can find results for just about any parameters you can imagine using their software."

I encourage you guys to try it out and see if it is a fit for you. Sign-up via this link and see what you think.

And, if you want to see all of the other sources available - free and pay - see my last "How to find gaps" post.

edit - check out the "Comments" on this post for more details and information

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18 comments:

Anonymous said...

X, on your 2% minimum gap for stocks below $50 - applies to gap from previous day close or previous day high?

Zen

Trader-X said...

Previous day's close.

If you want to refine it more, you can always cull the results list to gaps above/below previous day's high/low.

ExEngineer said...

X,

After your scan results are collected, I assume you sort by volume? Also, roughly how many stocks does this give you to watch daily: 10, 100, 1000?

Trader-X said...

Yes, sorted by volume in real-time so it is constantly updating. There are usually several 100 in the list, but I tend to focus on the top 20-30. If I have time, or cannot find anything, I may go deeper into the list.

Another method is to have two lists - one NASDAQ and one NYSE, and focus on the top 20 or so on each list.

Or, just focus on NASDAQ.

estocastica said...

Thanks for sharing your Trade-Idea configs and I love your idea to scan for a lower % on higher priced stocks -- makes perfect sense!

I also use an additional criteria of "Min Volume Today" is 75,000 shares, since I like the see at least 100K shares traded in the first 30 minutes. Again, I run this scan at 9:50am, so I'd reduce it a bit if I were to run it at 9:45am.

I'm still debating if I should subscribe to Trade-Ideas (I've had a month long trial but it expires in a few days). Since you are now using it as your solitary scan source, it's obviously worked out well for you. I've really enjoyed using it and it's very reliable (unlike Prophet.net or Quote.com). However, it is kind of pricey (and for good reason, as it's an extremely powerful tool...just not sure if I'll ever use it for more than simple Gap scanning).

Will said...

X- I noticed you said you export your watchlist to Excel, and it updates in real time based on volume. Is this one of those situations where you're using an API/DDE spreadsheet? Thanks!

Trader-X said...

Will - my trading platform is RealTick, which is where I keep my watchlist. Excel is just a middle step to quickly get the stocks from Trade-Ideas to RealTick.

NoGreedNoFear said...

estocastica - Did you get the free trial on the Trade-Ideas website ?

bidmarket said...

Good morning X-
Whenever I export to excel, I get the same symbol 4 or 5 times. Does that happen to you?
Thank you

Trader-X said...

Yes, but when I move it over to my RealTick watchlist it automatically eliminates the duplicates.

If you don't use RT, you can always sort your Excel list alphabetically and just manually delete the dups...should only take a minute or two.

chud said...

X,

What alerts do you use to get the gap ups and gap downs in one Trade-Ideas window? I use the gap up and gap down window specific filters, and I have to have separate windows for gap up and gap down.

Trader-X said...

Min Gap Up %, and Min Gap Down % - just plug in your numbers.

QQQBall said...

do you see any correlation between ADV and volume on day of the gap. generally speaking, 100K adv is just too light for me, but maybe with the extraordinary volume they are liquid enough.

thanks for the tips

Trader-X said...

I don't look at ADV.

Since I sort my watchlist by current volume, I tend to get into pretty liquid stocks. If the spread is wide, I usually pass. On average, I would say I don't trade stocks with under 750K-1M in volume for the day just because I sort my watchlist by volume.

Prospectus said...

I'm a big believer in automating repeated tasks as much as possible. Here's a quick Excel tool I made to automatically remove duplicates in a watchlist:

http://savefile.com/files/309221

Just download, open the file, enable the Macros and follow the directions. It's just a Macro to automatically use the built in advanced filter, allowing only unique results. If you really want to, you can do this manually in Excel by clicking Data--> Filter--> Advanced Filter and going through the GUI.

Trader-X said...

Thanks for sharing ExEngineer!

bl said...

FYI, Scottrade has Trade Ideas for free. $7 commission per trade. I have a few scans but I usually work off of high beta Industry Watchlists, like steel, oil, builders, commodities, airlines, exchanges, nazdaq/tech for group movement.

MikeB said...

I'm using TI in a very similar manner.

I've written a perl script to load the symbols into Medved QuoteTracker (QT). Using an hash to remove duplicates and perl's LWP package to load the symbols into QT (QT has a http interface).

The only manual step is dumping the data from TradeIdeas (TI) to a file. Is there an API for TI ? (COM/OLE ?)