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OmniTrader Pro Technical Support
Finding #bars avail from OmniScan
37 replies, 1731 viewings
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OmniTrader Pro Resource Forum
OmniTrader Pro Technical Support
Finding #bars avail from OmniScan
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Last Activity 4/10/2025 2:20 PM 37 replies, 1731 viewings |
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Jim Dean Sage     Posts: 3433 Joined: 3/13/2006 Location: L'ville, GA  User Profile |
However, somewhere along the way, the method has stopped working. It's a pretty basic need - to know how "old" a stock is as a part of scanning criteria - so I hope an alternative (and more permanent) solution can be found. The criteria formula I'm using is: Min(V,250) >= 1000 and LLV(250) >= 0.10 and SymbolData.Numrec > 250 The problem comes in the final condition. This rule USED to filter out any stocks that had not been around for at least a year ... now, it filters out ALL stocks. Un-useful :~( Please provide an alternative means for doing this. Thanks! P.S. Here's another interesting note - unrelated to the main question: if I use use "Min(V,250) >= 100", many more stocks pass the filter than if I use "Min(V,250) > 100" ... I'd rest easier if someone could give an authoritative explanation for it. | ||
| THOMAS HELGET Elite  Posts: 610 Joined: 3/22/2006 Location: BALDWINSVILLE, NEW YORK User Profile |
I wonder if there has been any resolution to this dilemma. I would like to insure that all the symbols returned by my OmniScan have at least 250 bars to perform the calculations my System requires. It's been al long time since the post - has any other solution presented itself? I tried all the things you mentions here and a few others to no avail. Thanks, Tom Helget | ||
| Jim Dean Sage Posts: 3433 Joined: 3/13/2006 Location: L'ville, GA User Profile |
Maybe you could try this scan: Sum( -(V >= 1000 and L >= 0.1), 250 ) = 250 ... or if you're willing to have say two "holes", you could check if it's >= 248 ... don't forget to include the minus sign ... it's important ... you could use this method with some other V or price critera | ||
| THOMAS HELGET Elite Posts: 610 Joined: 3/22/2006 Location: BALDWINSVILLE, NEW YORK User Profile |
Wow, my finger just barely got off the Enter Key. I appreciate your super quick response! And I'll give your suggestion a shot. Thanks and Stay Safe, Tom Helget | ||
| SteveL Veteran Posts: 133 Joined: 2/15/2007 Location: Boulder, CO User Profile |
Symbol.Numrec > 250 (and it's inverse: Symbol.Numrec < 250) works just fine for me: [Edited by SteveL on 3/9/2021 10:02 AM]  Attached file : 2021-03-09_8-52-26.png (10KB - 576 downloads) Attached file : 2021-03-09_8-56-19.png (10KB - 569 downloads) | ||
| Jim Dean Sage Posts: 3433 Joined: 3/13/2006 Location: L'ville, GA User Profile |
Now try those same two starting pops with just one tech formula: 1=1 Almost always for the big lists, some symbols are not really avail. Not at my PC but my guess is that Symboldata.Numrec >= 250 doesn’t return the same count as 1=1. Presuming that you haven’t changed the Scan loading Params of course. The thing that I was referring to earlier has to do with “holes” in the data. That is, sometimes for thinly traded stocks, or for stock that had trading halted a while, the bars for all dates in the 250 range “load” (so are a part of Numrec), but have zero volume &/or no price. The Sum() formula I suggested should eliminate those cases. | ||
| THOMAS HELGET Elite Posts: 610 Joined: 3/22/2006 Location: BALDWINSVILLE, NEW YORK User Profile |
Unfortunately your "Sum" formula doesn't do the trick for me. Tom | ||
| Jim Dean Sage Posts: 3433 Joined: 3/13/2006 Location: L'ville, GA User Profile |
You can also remove the = 250 and put the formula into Sort | ||
| THOMAS HELGET Elite Posts: 610 Joined: 3/22/2006 Location: BALDWINSVILLE, NEW YORK User Profile |
OK, I'll give that a try. The first instance, = 250, returns only 1 symbol. The second instance -250 in the Sort (Ascending or Descending) returns the original number of symbols unmodified. Tom Helget [Edited by THOMAS HELGET on 3/9/2021 12:11 PM] | ||
| SteveL Veteran Posts: 133 Joined: 2/15/2007 Location: Boulder, CO User Profile |
I guess I missed the point of your prior comments. Jim, Your point of using 1=1 is to see the total starting population. And then here are the consequences of each subsequent filter. The "Sum(...)" filter eliminates 74 symbols from the list. [Edited by SteveL on 3/9/2021 12:08 PM] Attached file : 2021-03-09_11-02-13.png (9KB - 569 downloads) | ||
| Jim Dean Sage Posts: 3433 Joined: 3/13/2006 Location: L'ville, GA User Profile |
Steve - the Numrec count is the number of bars in the data array. The Sum formula returns the number of bars that have meaningful volume and price info. The 1=1 check is a teick I learned to reject symbols that have been delisted or for some other reason aren’t legit. | ||
| THOMAS HELGET Elite Posts: 610 Joined: 3/22/2006 Location: BALDWINSVILLE, NEW YORK User Profile |
Here you go: My goal here was to obtain just those weeklies with at least a year's data to analyze further. Tom [Edited by THOMAS HELGET on 3/9/2021 12:50 PM] Attached file : One Symbol Returned.jpg (41KB - 554 downloads) | ||
| Jim Dean Sage Posts: 3433 Joined: 3/13/2006 Location: L'ville, GA User Profile |
Try removing the rule and instead put it in Sort, without the =250, to see # days that pass for the 144 that made it thru the prior test. | ||
| THOMAS HELGET Elite Posts: 610 Joined: 3/22/2006 Location: BALDWINSVILLE, NEW YORK User Profile |
MRNA was the only symbol to make it through on the above = 250 scan. Symbols that were blocked were APPL, AMD, CAT - well, I hope you get the picture. Putting it in the Sort Value and sorting Ascending or Descending I get: Now yeah, I know you noted that all these got through because I set the Select Top Value to greater than my Starting Population, but the whole idea here was to pare down the symbols returned as ten of them (e.g. XPEV, PLTR, DKNG, etc.) did not trade at least 250 days. I really didn't much care if a day or two were skipped - I just wanted enough data to calculate a one-year Linear Regression line. Tom Helget [Edited by THOMAS HELGET on 3/9/2021 2:39 PM] Attached file : Sort Value.jpg (76KB - 558 downloads) | ||
| Jim Dean Sage Posts: 3433 Joined: 3/13/2006 Location: L'ville, GA User Profile |
I can’t see a snap of what got through or the values. I’ve got to do some other stuff now but the Sum() formula should work if you just adjust how many days you require hits from (rhs of =), and the recentness required ( the ,250 ) | ||
| THOMAS HELGET Elite Posts: 610 Joined: 3/22/2006 Location: BALDWINSVILLE, NEW YORK User Profile |
Actually I would have thought that your original would have fit the bill with what I wanted to accomplish from what you just said unless I don't understand your meaning: "Maybe you could try this scan: Sum( -(V >= 1000 and L >= 0.1), 250 ) = 250" Tom Helget | ||
| Jim Dean Sage Posts: 3433 Joined: 3/13/2006 Location: L'ville, GA User Profile |
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| THOMAS HELGET Elite Posts: 610 Joined: 3/22/2006 Location: BALDWINSVILLE, NEW YORK User Profile |
I want to narrow down those Stocks and ETFs with weekly options that have a close above $10 and average put and call volume over the last 21 days greater than 10000 contracts each and have traded every day in the last trading year (call it 250 bars). I want to exclude a stock or ETF if it has traded less than 250 bars because I won't have enough data to calculate a "one-year" Linear Regression Slope and Channel from it. I hope that is clear and I am sorry if it seemed to be off-topic of the thread but I thought I was close enough in my approach to continue on in it. Thanks, Tom Helget [Edited by THOMAS HELGET on 3/9/2021 3:55 PM] | ||
| Jim Dean Sage Posts: 3433 Joined: 3/13/2006 Location: L'ville, GA User Profile |
LLV(V,250) > 0 should do it, tho crude Sum(-(V > 0),250) =250 also should do it. The logic of those two is correct. Symbols that have ANY day in the past 250 that has a volume of zero will NOT pass, since no volume means no trading. | ||
| SteveL Veteran Posts: 133 Joined: 2/15/2007 Location: Boulder, CO User Profile |
Interesting: [Edited by SteveL on 3/9/2021 4:41 PM] Attached file : 2021-03-09_15-38-14.png (4KB - 487 downloads) | ||
| THOMAS HELGET Elite Posts: 610 Joined: 3/22/2006 Location: BALDWINSVILLE, NEW YORK User Profile |
I love the impeccable logic of SUM(-(V > 0), 250) = 250 and before I even came here I tried things similar. BUT: Oh, and although I didn't take a screen shot of it LLV(V,250) > 0 returns all 147 Symbols. Tom Helget [Edited by THOMAS HELGET on 3/9/2021 4:49 PM] Attached file : Impeccable Logic.jpg (38KB - 506 downloads) | ||
| Jim Dean Sage Posts: 3433 Joined: 3/13/2006 Location: L'ville, GA User Profile |
Tom: I see. Yes it's weird. Did you try LLV(V,250) > 0? | ||
| THOMAS HELGET Elite Posts: 610 Joined: 3/22/2006 Location: BALDWINSVILLE, NEW YORK User Profile |
Sure did - added it to the above. Tom | ||
| Jim Dean Sage Posts: 3433 Joined: 3/13/2006 Location: L'ville, GA User Profile |
and ... not sure what "added it to the above" means. did the LLV approach also yield just one symbol? Maybe test just 240 days, or maybe 50 days, to see if that changes things. Maybe try: Sum( -(C/C = 1), 200) = 200 | ||
| SteveL Veteran Posts: 133 Joined: 2/15/2007 Location: Boulder, CO User Profile |
I think I've done the same thing that you tried: [Edited by SteveL on 3/9/2021 5:11 PM] Attached file : 2021-03-09_15-56-28.png (9KB - 202 downloads) Attached file : 2021-03-09_16-08-26.png (8KB - 493 downloads) |
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