How to find stocks with weekly options in a trading range on TOS
- Thread starter Brooks
- Start date
Thanks for your post and asking on reddit. You're right, of course, with lower volatility the premiums will be lower.
I did later find a TOS study called Near_High_Lows which is providing the scan I was looking for. I am going to look into the TTM Sqeeze suggested.
Sounds like the right one. I looked into the TTM Squeeze and it looks like the opposite of my objective. It finds symbols about to break out of their channels. It is an interesting indicator though.
@Brooks: I don't know precisely how you wish to define (within a range). I just hacked a quick Custom study, (Custom studies can be used in the sorting of TOS Scans) to look for %change in prior 90 bars (days) and fix a threshold (set to 10% here, that you can alter) that will effectively discard by returning a zero for those over that threshold (an attempt at what you may want for range) and provide higher weighting to lower percent changes. -- I used "Custom 1" see below:
# Brooks response for a custom thinkscript to aid in quantifying sideways movementPercent of stocks over LookBack bars(days)
# Must insure aggregation is set to days for bar to == days.
input LookBack=90; # Days
input PercentLimit=10;
def highest=highest(high,LookBack);
def lowest=lowest(low,LookBack);
def range=highest-lowest;
def lineinsand=highest-range/2; # pick mid point
def movementPercent=100*(range/2)/lineinsand; # How much movementPercent
plot Weighting=if (movementPercent>PercentLimit) then 0 else PercentLimit-movementPercent;
Pic of a scan setup:
# Brooks response for a custom thinkscript to aid in quantifying sideways movementPercent of stocks over LookBack bars(days)
# Must insure aggregation is set to days for bar to == days.
input LookBack=90; # Days
input PercentLimit=10;
def highest=highest(high,LookBack);
def lowest=lowest(low,LookBack);
def range=highest-lowest;
def lineinsand=highest-range/2; # pick mid point
def movementPercent=100*(range/2)/lineinsand; # How much movementPercent
plot Weighting=if (movementPercent>PercentLimit) then 0 else PercentLimit-movementPercent;
Pic of a scan setup:
Attachments
Hats off to you, Gary, writing thinkscript to do this. I found someone who knew how to do this with a study called Near_High_Lows. Attached is the saved study and results. I think its 2 different ways that both work to solve the problem.
