The idea: a move relative to its own history
A 2% move is ordinary for one stock and extreme for another. The screener ranks end-of-day daily move statistics so you can judge how stretched a move is relative to the symbol's own behaviour. A z-score expresses the latest move in standard deviations from that symbol's mean daily move over the chosen lookback.
| Group | Column | Meaning |
|---|---|---|
| Move | Latest move | The most recent daily percentage move. |
| Move | Mean move | The average daily percentage move over the lookback. |
| Dispersion | Std dev | The standard deviation of daily moves, in percent. |
| Dispersion | Z-score | The latest move measured in standard deviations from the mean. |
| Dispersion | One sigma points, average absolute move, extremes, sessions | Context for how large a one-sigma move is in points, the typical size of a daily move, the extreme moves in the window and how many sessions were used. |
Each row also carries a tag based on the absolute z-score: 2 Sigma when it is 2 or higher, 1 Sigma when it is between 1 and 2, and Normal below 1.
Controls
- Universe. All, Index, Stocks, F&O, Cash or Commodity.
- Lookback. 21, 30, 60, 90 or 252 sessions. A short window adapts quickly to recent volatility; a long window is steadier but slower to reflect a change in regime.
- Sort. By absolute z-score, signed z-score, latest move, standard deviation, mean move, volume or symbol, ascending or descending.
- Rows. 100, 200, 300 or all rows. Click a symbol to open its detailed distribution, sigma bands and a one-month style move profile.
Using it
- Start by sorting on absolute z-score to isolate the most stretched moves, then read the latest move and standard deviation together.
- Check volume and the news. A large move on thin volume or with no catalyst is read differently from one on heavy volume after results.
- Open the symbol detail to see where today's move sits in the distribution and how often similar moves occurred.
- Decide which question you are asking: continuation after a strong move, or mean reversion after an extreme one. The z-score does not choose between them; use price structure and other tools, such as the mean reversion screener.
Limits
The screener ranks statistically unusual moves, and it is not a buy or sell signal by itself. Daily returns are not perfectly normal and have fatter tails than a bell curve, so moves beyond two sigma happen more often than the textbook figure suggests. The window you choose changes the answer, a single large earlier move inflates the standard deviation, and a stock that has just changed regime will look unusual against an old window. For how a move compares with a price threshold, see the price threshold analysis guide.