In my article, "Designing a New Breakout System: The Set-Up, Part 1", I discuss a new filter I designed at www.stockfetcher.com. For anyone who uses Stockfetcher, here is the filter:

/* 60 Day Breakout */
count(close reached a new 60 day high,40) is above 1.5
count(close reached a new 60 day high,3) is below 1.5
and close reached a new 60 day high

/* Volume Surge */
set{avol20,average volume(20)}
set{avol1,volume}
set{volumeratio, avol1/avol20}
set{ar20, atr(20)}
set{ar1, high - low}
set{atratio, ar1/ar20}
set{totalratio,volumeratio * atratio}
totalratio is above 3

/* Liquidity */
set{avgdailytotal, average volume(20) * close}
avgdailytotal is above 200000
and volume is above 75000
and price is above 1

/* Moving Stock */
set{52hi, close 1 year high}
set{52lo, close 1 year low}
set{52hilo, 52hi/52lo}
52hilo is above 2