StrategyDesk is a cool piece of software from Ameritrade where you can create all kinds of customized scans. One such bullish scan that I’ve created is to try and identify sectors that are experiencing large daily moves, trading outside their average trading range (ATR), and I added a RSI parameter to eliminate weak sectors. I can use this as a barometer of the health of the markets to see which sectors are breaking out to new highs.
The exact formula I use screen for these results is below and maybe this can give you an idea for other scans.
Bar[High,D] – Bar[Low,D] > AvgTrueRange[ATR,14,D]*1.5 AND RSI[RSI,14,D] > 49
Here are the following results from Friday. Out of these only XNG (AMEX, Natural Gas Index) is the only one hitting new highs, while the majority of the others are making lower highs. Currently this index is at the top of it’s channel and likely to pullback soon, as the ADX has been overbought for a very extended length of time, as well as the RSI.
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