Presets and rules
Each preset is the exact CleverScan rule this page runs on the latest published daily session. S&P 500 stocks: Stocks on the S&P 500 reference list captured with the published dataset.
| Preset | What it selects | Rule |
|---|---|---|
| ATR above 5% of price | ATR(14), Wilder’s average true range of 14 sessions, is more than 5% of the close. Values come from the latest published daily session (regular trading hours); the rule is evaluated once per published session, not tick by tick. Rows are ordered by atr % (highest first). | securityType = "Stock" and indexMembership contains "SP500" and (atrPct14 > 5) |
| ATR below 2% of price | ATR(14) is less than 2% of the close. Rows are ordered by atr % (lowest first). | securityType = "Stock" and indexMembership contains "SP500" and (atrPct14 < 2) |
| High historical volatility | The standard deviation of daily percentage returns over the last 21 sessions is at least 3 percentage points. Rows are ordered by 1m volatility (highest first). | securityType = "Stock" and indexMembership contains "SP500" and (volM1Pct >= 3) |
| Low historical volatility | The standard deviation of daily percentage returns over the last 21 sessions is at most 1 percentage point. Rows are ordered by 1m volatility (lowest first). | securityType = "Stock" and indexMembership contains "SP500" and (volM1Pct <= 1) |
| Volatility rising | Volatility over 21 sessions is more than 25% higher than volatility over 63 sessions. Rows are ordered by 1m volatility (highest first). | securityType = "Stock" and indexMembership contains "SP500" and (volM1Pct > volM3Pct * 1.25) |
| Volatility contracting | Volatility over 21 sessions is more than 25% lower than volatility over 63 sessions. Rows are ordered by 1m volatility (lowest first). | securityType = "Stock" and indexMembership contains "SP500" and (volM1Pct < volM3Pct * 0.75) |
| Session range ≥ 5% | The session’s high minus its low is at least 5% of the close. Rows are ordered by atr % (highest first). | securityType = "Stock" and indexMembership contains "SP500" and ((high - low) / close >= 0.05) |
| Session range ≤ 1% | The session’s high minus its low is at most 1% of the close. Rows are ordered by atr % (lowest first). | securityType = "Stock" and indexMembership contains "SP500" and ((high - low) / close <= 0.01) |
What this screen measures
ATR percent scales the 14-session average true range by the close. Historical volatility instead uses the variability of daily returns. Today’s high–low range is a third measure. Each preset names the quantity it selects.
Read the rule with a worked example
A hypothetical ATR of 5 with a close of 100 is 5%. It does not meet the strictly-above-5% ATR preset; an ATR of 5.01 against the same close does. The same ATR with a close of 200 is 2.5%. A wide candle today can occur even when the smoothed 14-session ATR remains relatively small.
Choose the variant that matches the question
High and low ATR presets use different thresholds. Historical-volatility presets cannot be substituted for them. Rising and falling volatility compare a measure across sessions, while wide and narrow daily-range rules measure one candle.
Review the chart behind a match
Look for gaps, unusually wide sessions and changes in liquidity. Compare the measure with the same stock’s earlier values, then review the dollar distance as well as the percentage. The ATR guide distinguishes true range from simple high minus low.
Keep the interpretation within the rule
Volatility measures movement size, not direction. Low volatility does not prove low risk around a scheduled event, and high volatility does not imply positive expected returns. Annualized return variability and daily ATR percent use different units.
Continue with
- How to screen for low-volatility stocksBuild a reproducible screen for low-volatility stocks: choose a universe, define field units and thresholds, compare presets and inspect the matching daily charts.
A screen lists stocks whose published values meet a rule. It is a starting point for research, not a recommendation. Read the data and methodology notes for how sessions and calculations are defined.