Liquidity / Daily Turnover Exploration for Amibroker (AFL)
kakalim over 8 years ago Amibroker (AFL)
This exploration can help you find stocks that have enough liquidity or turnover based on your criteria. In this formula liquidity is based on the product of the average price and the volume. This value is then converted into millions. You can adjust the criteria in the code just change the values on the following line: Liquid = DVMil > 10 AND MADV20Mil > 5;
Thank you
Indicator / Formula
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_SECTION_BEGIN("Liquidity filter by value");
// Value Definition
AvgPrice=(O+H+L+C)/4;
DV=AvgPrice*V*1;
DVMil = DV / 1000000000;
MADV20 = MA( DV, 20 );
MADV20Mil = MADV20 / 1000000000;
FValue = DVMil / MADV20Mil ;
BuyVol = Volume>MA(Volume,20);
// Pick your creteria for stock range value. Put 10 for 10 Billion
Liquid = DVMil > 10 AND MADV20Mil > 5;
Buy = Liquid ;
Filter = Buy ;
AddColumn(MADV20Mil,"Value AVG (B)",1.0);
AddColumn(DVMil,"Value (B)",1.0);
AddColumn(Close,"Close",1.0);
_SECTION_END();0 comments
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