A Stock Screen Using Daily Range, Prior Control, and Opening Gain

Summary

This note proposes a short-term stock screen based on daily amplitude above 1, a condition described as main-force control on the prior day, and a 9:25 a.m. gain below 6%. It interprets the range as a sign of active price movement, the control measure as an indication of major capital flows, and the opening-gain cap as a way to exclude stocks that have already risen sharply before the open. The example implementation also checks amplitude, percentage change, and whether the open exceeds the prior close.

The document gives no backtest or return evidence. It cautions that a short-term screen may lose effectiveness as conditions change, the opening cap may exclude strong winners, and a narrow set of criteria can concentrate holdings. The formula descriptions and sample code do not fully reconcile how the 9:25 signal is measured, so implementation details require verification. It suggests adding valuation, technical, and fundamental factors, alongside risk controls.

Key ideas

• The screen combines daily amplitude, a prior-day control condition, and a limited 9:25 gain.
• The stated rationale links range to volatility, control to capital flows, and the gain cap to avoiding already extended openings.
• The sample also sorts selected stocks by market capitalization.
• The note warns about short-lived effectiveness, missed winners, and concentrated holdings, and provides no performance evidence.

Tags

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