This is a trading item or a component that was created using QuantShare by one of our members.
This item can be downloaded and used by QuantShare Trading Software.
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An increase in volume can be detected in several ways. For example, you can calculate the ratio of the total volume in the last five bars to the volume of the last 50 days. The higher the ratio is the higher the increase of the volume during the last days.
Here is how the current screener works:
- It ranks all stocks in your database by their volume ratio (The 5-bar moving average of volume divided by the 50-bar moving average).
- It rejects stocks that have a price lower than two and an average volume lower than 100,000.
- It takes the ones that are in the top 100. Using the composite function, it gets the 100 stocks with the highest volume ratio.
- It calculates, for each stock, the average return of the strategy that consists of buying these top 100 stocks (enter at next bar open price) and then exiting them after one bar (exit at next bar open price).
- Given the above strategy, it ignores stocks that have a total number of trades lower than 10, an average return lower than 0.5% and a percentage of positive trades below 50%.
In the screen columns, you can see the volume ratio, the stock rank, the strategy return and percentage of positive trades.