The Price Surprises page highlights ETFs that have unusually large price movement relative to their usual pattern (they are seeing breakouts or abnormally large bull or bear moves). There may be trading opportunities in these large-movement equities.
To be included, U.S. market ETFs have to be trading between $2 and $10,000 and have daily volume above 1,000 shares. For Canada, ETFs have to be trading between $0.25 and $10,000 and have daily volume above 1,000 shares. The initial view shows only ETFs with a leverage of 1x (Long). Barchart Members, once logged in, may filter the ETFs that appear using the Leverage boxes at the top of the page.
Site Members may also opt-in to receive an End-of-Day Email report of the top 5 Bullish and Bearish symbols found on the Price Surprises page. The End-of-Day Email digests are sent at 5:30 PM CT, Monday through Friday.
Price movement on the Price Surprises page is defined in terms of the number standard deviations the equity has moved in the latest trading session. Defining price movement in terms of standard deviations is preferable to using percentage change because using standard deviations puts all the equities on a level playing field. For example, there are categories of ETFs that are typically more volatile and have larger percentage price changes than other ETFs. Low-priced small-cap ETFs or high-tech ETFs are typically much more volatile than lower volatility ETFs such as utilities. If we used percentage change to define price movement, then high-volatility ETFs would always dominate the Price Surprises page and we would miss lower-volatility ETFs that might have an unusually large movement on a particular day.
In order to calculate the number of standard deviations that a symbol moves in the latest session, we use the following formula:
Today's price movement in terms of number of 20-day standard deviations = ln (latest close/previous close) / ((20-day historical volatility/100)/square root of 252))
In this formula we are simply comparing the latest price change to the standard deviation of the price returns over the last 20 sessions. We are using the "price return" for the daily change because this is how historical volatility is calculated. A "price return" is simply the natural log of the latest close divided by the previous close. Historical volatility is the measure that we use for the comparison in the denominator of our equation because historical volatility is simply defined as the standard deviation of the price returns, factored up to an annualized number.
Since historical volatility is typically expressed as an annualized number, we need to reduce it to a daily figure for our daily "Price Surprises" calculation by dividing it by the square root of 252 (i.e., the approximate number of trading days in a year).
Let's look at an example. A123 Systems (ticker: AONE) on the close of Friday, May 14, 2010 had the following input figures: 5/10/2010 close was $11.46, 5/09/2010 close was $10.33, and the 20-day historical volatility on 5/10/2010 was 66.69%. Let calculate how many standard deviations A123 Systems moved on 5/10/2010:
Ln (11.46/10.33) / ((66.69/100)/square root of 252) = 2.47
This indicates that A123 Systems on May 14, 2010 moved by 2.47 standard deviations, which is an unusually large move. According to the normal distribution curve, we would expect a move of more than two standard deviations less than 5% of the time, indicating how unusually large A123 Systems’s price change was on May 14.
The Price Surprises report is also available for weekly and monthly price changes, in which case the price change over the past week or month is divided by the 20-week or 20-month standard deviation, respectively.
The movement of a symbol in terms of its standard deviation is useful to traders because it can be translated into probability terms. According to the normal distribution bell curve, a symbol will show a move of less than one standard deviation (plus or minus) about two-thirds of the time, a move of less than two standard deviations 95% of the time, and a move of less than three standard deviations 99% of the time. Thus, if a trader sees a symbol with 3 standard deviations, the odds of that event are only 1% (or 1 in 100), meaning the symbol is showing a major move from a statistical standpoint that is outside the realm of normal statistical expectations.
Available only with a Premier Membership, you can base an ETF Screener off the symbols currently on the page. This lets you add additional filters to further narrow down the list of candidates.
- Click "Screen" on the page and the ETF Screener opens, pulling in the symbols from the Price Surprises page.
- Add additional criteria in the Screener, such as "20-Day Moving Average is greater than the Last Price", or "Trend Seeker® Opinion is Buy".
- View the results and save them to a Watchlist, or save the Screener to run again at a later date.
- Running a Saved Screener at a later date will always present a new list of results. Your Saved Screener will always start with the most current set of symbols found on the Price Surprises page before applying your custom filters and displaying new results.
For pages showing Intraday views, we use the current session's data with new price data appear on the page as indicated by a "flash". Stocks: 15 minute delay (Cboe BZX data for U.S. equities is real-time), ET. Volume reflects consolidated markets. Futures and Forex: 10 or 15 minute delay, CT.
The list of symbols included on the page is updated every 10 minutes throughout the trading day. However, new stocks are not automatically added to or re-ranked on the page until the site performs its 10-minute update.
For reference, we include the date and timestamp of when the list was last updated at the top right of the page.
Pages are initially sorted in a specific order (depending on the data presented). You can re-sort the page by clicking on any of the column headings in the table.
Most data tables can be analyzed using "Views." A View simply presents the symbols on the page with a different set of columns. Site members can also display the page using Custom Views. (Simply create a free account, log in, then create and save Custom Views to be used on any data table.)
Each View has a "Links" column on the far right to access a symbol's Quote Overview, Chart, Options Quotes (when available), Barchart Opinion, and Technical Analysis page. Standard Views found throughout the site include:
- Main View: Symbol, Name, Last Price, Change, Percent Change, High, Low, Volume, and Time of Last Trade.
- Technical View: Symbol, Name, Last Price, Today's Opinion, 20-Day Relative Strength, 20-Day Historic Volatility, 20-Day Average Volume, 52-Week High and 52-Week Low.
- Performance View: Symbol, Name, Last Price, Weighted Alpha, YTD Percent Change, 1-Month, 3-Month and 1-Year Percent Change.
- Fundamental View: Available only on equity pages, shows Symbol, Name, Market Cap, P/E Ratio (trailing 12 months). Earnings Per Share (trailing 12 months), Net Income, Beta, Annual Dividend, and Dividend Yield.
Note: For all markets except U.S. equities, fundamental data is not licensed for downloading. Your .csv file will show "N/L" for "not licensed" when downloading from a Canadian, UK, Australian, or European stocks page.
- Mini-Chart View: Available for Barchart Premier Members, this view displays 12 small charts per page for the symbols shown in the data table. You may change the bar type and time frame for the Mini-Charts as you scroll through the page. The default settings for Mini-Charts are found in your Site Preferences, under "Overview Charts".
View Symbol More Data (+)
Unique to Barchart.com, data tables contain an option that allows you to see more data for the symbol without leaving the page. Click the "+" icon in the first column (on the left) to view more data for the selected symbol. Scroll through widgets of the different content available for the symbol. Click on any of the widgets to go to the full page. The "More Data" widgets are also available from the Links column of the right side of the data table.
Also unique to Barchart, Flipcharts allow you to scroll through all the symbols on the table in a chart view. While viewing Flipcharts, you can apply a custom chart template, further customizing the way you can analyze the symbols. Flipcharts are a free tool available to Site Members.
Download is a free tool available to Site Members. This tool will download a .csv file for the View being displayed. For dynamically-generated tables (such as a Stock or ETF Screener) where you see more than 1000 rows of data, the download will be limited to only the first 1000 records on the table. For other static pages (such as the Russell 3000 Components list) all rows will be downloaded.
Free members are limited to 5 downloads per day, while Barchart Premier Members may download up to 100 .csv files per day.
Note: Due to licensing restrictions, Canadian fundamental data cannot be downloaded from Barchart.com. You will see "N/L" in a downloaded column when this is the case.
Should you require more than 100 downloads per day, please contact Barchart Sales at 866-333-7587 or email email@example.com for more information or additional options about historical market data.