which stock has a large intra-day swing?

[trader071507]

I'm looking for some stocks with the following criteria:

1. Market cap over $1 billion.

2. Daily volume of over 1,000,000 shares traded.

3. Its intra-day range is at least around 4% of the stock price. This 4% range must occur quite frequently at least in the past 30 days, not just for 2or 3 days in a row.


I saw this happening a lot during the year 2000 time frame, when volatility was high.

By at least 4% intra-day range, this is what I mean:

Say a stock is trading at around $30. For example, the low for the day hit $29.10 and the high for the day is $30.30. So the difference would be $1.20. This represents around 4% of the stock price.

Many stocks only swing around 2% from its stock price.

Does anyone have a list of stocks that would fit this requirement:

1. Market cap over $1 billion.

2. Daily volume of over 1,000,000 shares traded.

3. Its intra-day range is at least around 4% of the stock price. This 4% range must occur quite frequently at least in the past 30 days, not just for 2 or 3 days in a row.

Thanks in advance.

[ParkTwain]

high alpha (volatility)

This is where I start, since I do everything the hard (slow) way:

http://www.trade-ideas.com/StockInfo/high_percent_volatility.html

[ParkTwain]

Stock Monster blog

You might also become interested in this productive, fully back-tested short-term trading strategy:

http://stockmonster.blogspot.com/

http://stockmonster.blogspot.com/2006/02/adding-new-screen-for-daytrading-1.html

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This screen looks for severely oversold stocks and tries to catch the bounce for one day after some "panic" selling. The reason these stocks "pop" is because of panic selling for 2 days straight. Sort of like a "dead cat bounce" screen. I get the result every night around 6pm and will post it ASAP.

The rule is to buy the stock (market order) at the open and keep until the following day's open. Ameritrade lets you put in a buy at the open and sell at the next day's open so you don't have to be pressing TRADE! TRADE! 1 minute before each day's open. Your broker might be different.

Some days, of course, there are no stocks. Oh, and all stocks will be non bulletin boards and be $1 or greater per share. Also, there are no profit stops put in. Not all of them go up of course, and some can go down hard, so I put in a wide 15% sell stop just in case. 15% is big, I know, but I don't want to be stopped out at 5 or 10% and then it reverses, so I'm willing to take the hit. Every 3 months or so this stop will be hit!

Because the stock comes from a screen, it's pure mechanical trading. It can be a bit emotional if you watch it during the day, so DON'T WATCH IT!! during the day. Or, at least don't react to what you see...yeah, right...lol.

I have backtested every single trade from 1/1/02 - 6/11/07 (5 1/2 years of Rocket data)...here are some stats...

number trades = 743
avg stock price = 11
avg return = 2.46% (net positive)
win % = 65%
avg about 1 trade every 2 days
avg about 10 trades each month
avg 27% return each month
% of trades with 10% gain or more = 13% (about 12 times a year)
% of trades with 15% gain or more = 6% (about 6 times a year)
% of trades with 10% loss or more = 5% (about 6 times a year)
% of trades with 15% loss (stopped out) = 4% (about 4 times a year)
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