2 sigma moves

How can I find stocks that moved 2 standard deviations below their previous close (close(1))?

I tried this formula but it doesn’t work:
((Close(0)/Close(1) -1)*100) < (PctDev(20, 1)*2)


Close(0) < Close(1) * (1 - (PctDev(20, 1)*2)/100) , should work.

Denny :sunglasses:

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Denny have you got a formula that can scan for stocks that are 2 standard deviation above or below their mean based on the last 60 days.

Will this variation of Denny’s formula do what you want?

Close(0) < SMA(60) * (1 - (PctDev(20, 1)*2)/100)

SMA takes bars as argument.

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Will Try. Thanks for the help

In general I find it very difficult to debug my screens. Whenever I try to write a custom formula I have no way to check the results.
Is there any plan to add formulas in the column set definition?

I have a pending feature request for this.


I don’t know why it is getting a low score. To me the inability to see the raw figures is a big drawback which could easily be rectified.

I agree. This is a critical feature to develop more sophisticated models.
How do you develop any model if you can’t check your formula results?

I voted for your request Sterling. It is very important. Perhaps one reason it has not gotten too many votes up to now is your feature request is very rich and sentance, [color=red]Allow users to see the actual values! [/color], is near end.

Perhaps there are contractural constraints we are unaware of that prevent some values resulting from formulas from being displayed. I hope that is not the case.


I came up with a price/volume Sim that buy stocks after a 2SD down move. Nothing exceptional in terms of returns, but it might be a good base for some of us:


I didn’t include any slippage, but liquidity requirements are pretty high: 5M average monthly $ volume, $3 minimum price and microcaps are excluded.



This feature was a give back three years ago see What happened to raw data?

The loss of raw data created a undue hardship for us all.

Kurt, I believe it is the case. I have read some old posts by Marco indicating that Reuters would charge a lot more for the data if the data values were actually displayed. In an unrelated thread however, Marco clued me in to the fact that the screener can be used (albeit somewhat clumsily) to check values returned by a formula. You can screen for ticker and formula equality/inequality and then see whether the screen returns nothing or 1 stock.

Did you consider equating the time frame for PctDev to the average?
Close(0) < SMA(60) * (1 - (PctDev(60, 1)*2)/100)