A Stock Screen for Volatility, Price, Volume, and Opening Gaps

Summary

The document presents a short-term stock screen based on price movement, trading activity, and the open relative to the prior close. Its stated criteria are amplitude above 1, a price or K-line measure below 20, current volume above 10,000 lots, and an opening price above the previous session's close. It also offers formula and Python examples that add a positive close and a rising short moving average as further filters, and rank selected stocks by volume.

The accompanying discussion interprets volatility and volume as signs of activity and an opening gap as possible buying interest. It warns that technical filters omit company fundamentals and financial condition, and that a gap may reflect profit-taking or other effects rather than strength. The text suggests adding indicators and fundamental or industry information, but supplies no backtest, validation, or performance results. Some thresholds and descriptions are not precisely reconciled across the prose and examples, so the screen requires implementation choices and empirical testing before use.

Key ideas

• The proposed screen combines daily amplitude, a low price threshold, high current volume, and an opening gap above the prior close.
• The example implementations add a positive close and a short moving average above a longer one.
• The screen is technical and may overlook company fundamentals and industry conditions.
• An opening gap can have multiple interpretations, including possible selling after a prior move.
• The document provides no backtest results, and some criteria differ between its prose and examples.

Tags

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