Events & 1-Day to 60-Day Volatility Ratio

Published by: Carson Dahlberg, CMT | Date: March 8, 2016

This scan uses the ratio of the 1-Day Average True Range to a 60-Day Average True Range (lagged 30 days). This scan finds when volatility is high compared to the recent past. Perry Kauffman has written about this and it is covered in the Chartered Market Technician’s exam.

The idea is to find when the market is potentially surprised by news/info. A spike of 3% or higher is significant and shown as a blue vertical lines. These scan results could then be used to look for matches to news events regarding the individual securities.