The Price Surprises page highlights stocks that have unusually large price movement relative to their usual pattern (stocks that are seeing breakouts or abnormally large bull or bear moves.) As a result, there may be trading opportunities in these large-movement stocks.
Stocks are separated between Bullish and Bearish tabs, each ranked by Standard Deviation.
For U.S. and Canadian markets, the page can be filtered by exchange. The "All US Exchanges" page includes only NYSE, AMEX and NASDAQ stocks, and excludes ETFs. The NYSE, AMEX and NASDAQ pages exclude unit investment trusts, closed-end funds, warrant stocks, preferred securities and any non-SIC classified stock.
In addition, there are four time-frames to choose from:
- Intraday - The list of stocks to display on the Intraday page is updated every 10 minutes throughout the trading day. You will see new price data "flash" on the page. However, stocks are not automatically added or re-ranked on the page until the site performs its 10-minute update.
- Daily / Weekly / Monthly - The list of stocks to display on these pages is updated once a day. The list of stocks that appear on the Daily / Weekly / Monthly pages will not change until approx. 8pm EST for the Daily page and approx. 9pm EST for the Weekly and Monthly pages. Weekly rankings are calculated using weekly prices and Monthly rankings are calculated using monthly prices and the price change over the past week or month is divided by the 20-week or 20-month standard deviation, respectively.
In order to be considered for inclusion on the Price Surprises page, a stock must have a price between $2 and $10,000, and a 20-Day Average Daily Volume of at least 10,000 shares. OTCBB stocks have to be trading above $0.25 and have a (20-Day Average Volume * Last Price) above 10,000.
Price movement on the "Price Surprises" page is defined in terms of the number standard deviations the stock 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 stocks on a level playing field. There are categories of stocks that are typically more volatile and have larger percentage price changes than other stocks. For example, low-priced small-cap stocks or high-tech stocks are typically much more volatile than lower volatility stocks such as utility stocks. If we used percentage change to define price movement, then high-volatility stocks would always dominate the Price Surprises list and we would miss lower-volatility stocks that might have an unusually large movement on a particular day.
In order to calculate the number of standard deviations that a stock 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 "What’s Hot" 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 movement of a stock in terms of its standard deviation is also useful to traders because it can be translated into probability terms. According to the normal distribution bell curve, a stock 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 stock that has moved 3 standard deviations, the odds of that event are only 1% (or 1 in 100), meaning that stock is showing a major move from a statistical standpoint that is outside the realm of normal statistical expectations.
Barchart Data Table
Data tables on Barchart follow a familiar format to view and access extensive information for the symbols in the table.
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, Weighted Alpha, Market Cap, P/E Ratio. Earnings Per Share, Beta, Return on Equity, and Price/Sales
Data Table Expand
Unique to Barchart.com, data tables contain an "expand" option. Click the "+" icon in the first column (on the left) to "expand" the table 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.
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.
This tool will download a .csv file (compatible with many spreadsheet programs) for the View being displayed. Download is also a free tool available to Site Members.