Events & 1-Day to 60-Day Volatility Ratio

This scan uses the ratio of the 1-Day Average True Range to a 60-Day Average True Range (lagged 30 days). The idea is to find when the market is potentially surprised by info coming into the market. A spike of 3% or higher is significant and shown as a blue vertical lines.

This scan can be used to look for matches to news events regarding the individual securities to gauge surprise. Perry Kauffman has written about this and it is covered in the Chartered Market Technician’s exam.