var - backtest related and spy runbook

tos-short-squeeze/ShortSqueezeScanner.tsv

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+ShortSqueeze	SqueezeScan	# TOS Short Squeeze Scanner
+# Run in: TOS -> Tools -> Run Scan (or save to Scan Library)
+# Data period: Pre-Market (select in scan data settings)
+# Columns: Symbol, Ticker, SI%(manual), Squeeze, Gap%, PremkVol, PremkVolPct, PremkRange%, PremkAboveVWAP, PremkBid, PremkAsk, PremkMid
+#
+# HOW TO USE:
+# 1. TOS -> Tools -> Run Scan. Paste this entire file into the "ThinkScript" box.
+# 2. Set data period: Pre-Market. Exclusions: None.
+# 3. Universe: US stocks, price > $1, volume > 0.
+#    (For a tighter list, add a static pre-filter for float < 30M shares.)
+# 4. Run. Sort by SqueezeScore.
+# 5. Manually enter each candidate's short float % (SI%) using TOS stock
+#    details page, S3 Partners, or your usual source. This column feeds
+#    the SqueezeScore but the technical flags work without it.
+# 6. Best candidates: Squeeze=1 AND PremkAboveVWAP=0 AND PremkVolPct > 1.5
+#    AND SI% > 25.
+
+input gapUpMin = 1.0;        # min % gap up from prev close
+input gapUpMax = 12.0;       # max % gap up (above this = news/pop already done)
+input volPctMin = 1.5;       # min premarket volume as % of 1-day avg
+input vwAPBand = 0.75;       # % band around VWAP where "hug" is valid
+input squeezeScoreMin = 1;   # min score to show (1-5 scale)
+
+# ---- Price levels (premarket context) ----
+def prevClose = Close[-1];
+def open = Open;
+def high = High;
+def low = Low;
+def close = Close;
+def vol = Volume;
+
+def gapPct = if prevClose > 0 then (open - prevClose) / prevClose * 100.0 else Double.NaN;
+
+# ---- Pre-market VWAP approximation ----
+# Built from the day's bars so far, so it includes premarket prints.
+def vwapCalc = if Sum(vol, 1) > 0 then Sum(close*vol, 1) / Sum(vol, 1) else Double.NaN;
+
+def vwapPctFromClose = if vwapCalc > 0 then (close - vwapCalc) / vwapCalc * 100.0 else Double.NaN;
+
+# ---- Pre-market volume as % of 1-day average ----
+def avgVol1D = Average(vol, 22);  # ~1 trading day of 1-min bars
+def volPct = if avgVol1D > 0 then vol / avgVol1D * 100.0 else Double.NaN;
+
+# ---- Pre-market range as % of prev close (narrow range = coiling) ----
+def rangePct = if prevClose > 0 then (high - low) / prevClose * 100.0 else Double.NaN;
+
+# ---- Is price hugging/just under VWAP? ----
+def huggingVWAP = vwapCalc > 0 and vwapPctFromClose >= -vwAPBand and vwapPctFromClose <= vwAPBand;
+
+# ---- Squeeze flags ----
+def flagGap = gapPct >= gapUpMin and gapPct <= gapUpMax;
+def flagVol = volPct >= volPctMin;
+def flagHug = huggingVWAP;
+def flagNarrow = rangePct <= 2.5;  # narrow range = coiling, ready to spring
+
+# ---- Squeeze score: 0-5 (add SI% manually in the column) ----
+def score = (if flagGap then 1 else 0)
+          + (if flagVol then 1 else 0)
+          + (if flagHug then 1 else 0)
+          + (if flagNarrow then 1 else 0)
+          + 0;  # SI% is manual - add +1 in your head if SI > 25
+
+# ---- Composite squeeze signal ----
+def squeezeSignal = flagGap and flagVol and flagHug and squeezeScore >= squeezeScoreMin;
+
+# ---- Output columns ----
+plot Ticker = GetSymbol();
+plot Symbol = GetSymbol();
+plot SI_Pct = Double.NaN;   # MANUAL: paste short float % per ticker
+plot Squeeze = squeezeSignal ? 1 : 0;
+plot GapPctOut = gapPct;
+plot PremkVol = vol;
+plot PremkVolPct = volPct;
+plot PremkRangePct = rangePct;
+plot PremkAboveVWAP = if vwapPctFromClose > 0 then 1 else 0;
+plot PremkVWAPPct = vwapPctFromClose;
+plot PremkBid = BidPrice;
+plot PremkAsk = AskPrice;
+plot PremkMid = (BidPrice + AskPrice) / 2;
+plot SqueezeScore = score;
+
+# ---- Scanner conditions (filter rows) ----
+# Adjust to taste. Starting: at least a gap-up + elevated volume + VWAP hug.
+condition SqueezeSetup = squeezeSignal;
+condition GapUpOnly = flagGap and flagVol;
+condition VolSpikeOnly = flagVol;