A Short-Term Stock Screen Using Range, Opening Gain, and Large-Order Flow

Summary

The post proposes a short-term stock-selection rule combining daily amplitude, the 9:25 price gain, and a product of price change and a large-order net-flow measure. It screens for stocks with amplitude above one, a 9:25 gain below six percent, and a positive combined indicator. The intent is to find shares showing meaningful movement and supportive trading flow while avoiding those already sharply higher before the open. The post also provides a formula reference and Python example intended to illustrate how the filters might be assembled from market data.

The article offers no backtest, sample period, benchmark, or evidence that the screen predicts returns. It acknowledges sensitivity to market conditions and indicator construction, and recommends further refinement, including fundamental inputs. The supplied implementation should be treated cautiously: its amplitude calculation uses recent daily highs and lows, while the stated rule describes amplitude more generally, and the prose and code do not clearly align on which day’s return and flow are multiplied. Data availability at the specified pre-open time and the exact definition of large-order net flow also matter for a reproducible test.

Key ideas

• The screen combines an amplitude threshold, a cap on the 9:25 gain, and a positive price-change-by-flow measure.
• The stated objective is to find volatile stocks with supportive large-order activity for short-term trading.
• The post supplies formula and code examples but no backtest evidence or return statistics.
• The implementation’s measurement windows and indicator definitions require clarification before testing.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.