Standard Deviation Breakout
Table of Contents
These alerts report each time the stock price moves an integer number of standard deviations from the closing price. These are very similar to the % up/down for the day alerts, but these are based on volatility rather a percentage. For some stocks it is interesting and unusual when they move up by less than 1% from the previous close. Others must move by 2% or more before they are interesting. The user can require higher standards, as described below.
These alerts are slightly different from our other volatility alerts, because these use a more traditional formula for volatility. For most of our alerts we use two weeks worth of volume-weighted, intraday volatility data, and we scale it so that "1" means a typical move for one 15 minute period. These alerts are based on a year's worth of volatility data. Recent data is weighted more heavily than year old data, and the data is scaled so that "1" means a standard deviation for one day.
Alert Info for Standard Deviation Breakout [BBU]
- description = Standard deviation breakout
- direction = +
- keywords = Highs and Lows Single Print
- flip_code = Standard deviation breakdown [BBD]
- parent_code =