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HELP - Historical Stock Screener



Description

The Historical Stock Screener is a close relative to the live Stock Screener / Upcoming Earnings tool which is found under the Earnings tab. With this tool the trader can back test his screening criteria to see what a specific set of filters would have produced in the past.

Another use for this tool is to develop a list of stocks that will likely be reporting in the near future, however have not yet confirmed their Earnings Release (ER) date. For example you may wish to find stocks with a specific strategy in mind which requires entering the trade three to six weeks ahead of a stocks ER such as the long vol double calendar spread. Since many stocks do not confirm their ER date until one or two weeks ahead of time, many stocks which will be reporting may not show up in the live screener. Use the historical screener to find who reported last year in the same time frame you are interested in this year.

Screening criteria fields

    Scheduled Earnings Release

    Use the calendar to pick an historical date from which to apply the filters. Then choose from the drop down how far in advance to scan. This is a required field.

    After Market Flag

    Choose to show only those stocks reporting either Before the Open (BO) or After the Close (AC). Leave set to Not Applicable (N/A) to show all.

    Stock List Type

    Narrow your report from showing all stocks by choosing to show only those that offer options. Etc.

    Market

    Choose to search only specific exchanges.

    Sector

    Narrow your search to a specific sector of the markets.

    OptionSlam EVR

    Choose a minimum or a maximum EVR for your search. Alternatively create an EVR range by filling in both minimum and maximum fields. To learn more about EVR go to the Earnings Volatility Rating page under the help menu.

    Stock Price

    Choose a minimum or maximum stock price level to search for. Alternatively create a price range of stocks to scan.

    Market Capitalization

    The market value of a company's outstanding shares. This figure is found by taking the stock price and multiplying it by the total number of shares outstanding. Choose a minimum or maximum market cap level to search for. Alternatively create a range of market capitalization within which to search. For example set the range to 10 billion and up to search only large cap stocks.

    Short Interest Level

    The quantity of stock shares that investors have sold short. Short interest can be expressed as a percentage by dividing the number of shares sold short by the total number of outstanding shares. Investors use short interest to make predictions about the direction a particular stock is headed, and to measure the bullishness or bearishness of investors' sentiment towards the stock. Choose a minimum or maximum or define a range by filling both fields.

    Minimum Average Daily Volume

    This is the number of shares traded daily averaged over the most recent three months. Use this filter to weed out those stocks which are less liquid than you wish to get involved with. Many traders use two million in this field. Be careful to not use commas in this field… Only numerals.

    Tracking Price Change One Day After Earnings Release

    Max One Day Move

    Find stocks that have large one day post earnings moves. Or for other strategies find stocks that move less than x% after an earnings announcement. Considering the trading day after an earnings announcement this is the maximum amount the underlying stock moved as compared to the pre-earnings closing price in absolute terms. For stocks that report Before the Open (BO) the pre-earnings close is the previous days close and the one trading day after Earnings Release (ER) is the same day as the BO report. For stocks that report After the Close (AC) the day of the report closing price is the pre-ER close and the following day will be the one trading day after ER. Choose from the drop down your desired look-back period. Then specify the movement minimum, maximum, or a range in percentage terms.

    Final One Day Move

    See above Max One Day Move for details and descriptions. This is similar to Max except all calculations are based on the final or closing price one day post ER. So for example a stocks pre-ER close is $100.00 Then the stock’s closing price one day after the ER is $90.00 This would constitute a 10% absolute price change as compared to the pre ER close. Choose from the drop down your desired look-back period. Then specify movement minimum, maximum, or a range in percentage terms.

    Final One Day Direction

    This metric points to price direction after an earnings release. Look for stocks that are consistently up or consistently down one day post ER. Simply choose a look back period and then the direction.

    Weekly Implied Move vs Maximum One Day Move

    Important to traders is whether a stock moved inside or outside its Implied Move (IM). For example a stock that consistently moves less than its IM may be a good candidate for an iron condor strategy where a stock that repeatedly moves greater than its IM may be a good candidate for a long straddle. Choose a look back period and choose inside or outside the Implied Move to find stocks that fit your strategy ideas.

    Mean and Median Calculations: Tracking Price Changes One Day After Earnings Release

    General: For the following Median and Mean fields first choose whether to use Closing or Maximum movements. Then choose the look back period. Choices are to calculate based on 4,8,12 or 16 previous earnings events.

    Notes: Absolute vs. Raw calculation examples.
    Stock XYZ based on 4 previous earnings movements of +10% (-8%) (-6%) +12%.
    Absolute Mean ignores positive vs. negative numbers. Therefore (10+8+6+12)/4 = 9
    Raw Mean uses positive and negative numbers. Therefore (+10-8-6+12)/4 = 2

    Average(Mean): absolute value

    Screen for pure volatility regardless of price direction based on the average price change over X previous earnings events. For example if you are looking for stocks that move a lot on earnings put a large number in the Minimum field such as a 10 and leave the max blank. If looking for stocks that don’t move much put a smaller number in the Maximum field and leave the min blank. Alternatively fill in both fields to create a custom volatility range.

    Median: absolute value

    Median definition: the middle number in a given sequence of numbers, taken as the average of the two middle numbers when the sequence has an even number of numbers: 4 is the median of 1, 3, 4, 8, 9. Screen for pure volatility regardless of price direction based on the median price change over X previous earnings events. For example if you are looking for stocks that move a lot on earnings put a large number in the Minimum field such as a 10 and leave the max blank. If looking for stocks that don’t move much put a smaller number in the Maximum field and leave the min blank. Alternatively fill in both fields to create a custom volatility range.

    Average(Mean): raw value

    Use the average over your look back period searching for a directional edge. Find stocks that have a positive or negative expectancy based on the aggregate of previous earnings moves. See examples of calculations above.

    Median: raw value

    Use the median over your look back period searching for a directional edge. Find stocks that have a positive or negative expectancy based on the aggregate of previous earnings moves. See examples of calculations above.

 
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