A Bollinger Band and Opening-Gap Stock Selection Screen
Summary
The proposed equity screen combines intraday range, Bollinger Band position, and a specific opening-time price-change condition. It looks for stocks whose range exceeds its recent average, whose close lies between the middle and upper Bollinger Bands, and whose stated 9:25 change is below six percent. The document also provides sample formula and Python implementations, along with general suggestions to add fundamental and broader market measures.
No backtest, return series, or other evidence is supplied, so the strategy’s effectiveness is unknown. The text itself flags sensitivity to the chosen observation time, data accuracy, market shocks, and changing selection counts. Its stated time conditions and code appear difficult to reconcile, and the sample uses date and data fields that may not fit the described 9:25 observation. The screen should therefore be treated as an illustrative rule set that needs precise timing definitions and data validation before testing.
Key ideas
- The screen combines recent range expansion with a close between the middle and upper Bollinger Bands.
- It applies a price-change filter tied to a stated 9:25 observation.
- The document proposes adding fundamental and market information to broaden the assessment.
- It provides sample formulas and code but no backtest or performance evidence.
- Time sensitivity and potentially inconsistent sample conditions require careful data validation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.