A Stock Screen Using Price Range and Auction Volume Activity

Summary

The post proposes screening stocks using price movement and trading activity around the opening auction. Its stated rule selects shares with amplitude above a threshold, yesterday's turnover rate multiplied by today's auction volume relative to yesterday's volume within a specified band, and yesterday's auction turnover rate above a minimum. The rationale is to combine price range, turnover, and auction participation when identifying candidates.

The author cautions that the screen ignores company fundamentals and that unusually high auction turnover may reflect temporary manipulation or concentrated control. The post suggests combining the filter with technical indicators and fundamental or market information. It provides an illustrative Python outline but does not report a backtest, define a complete execution process, or establish that the criteria predict returns. The sample implementation's field references and date handling also do not clearly match the prose rule, so the written conditions should be checked against actual data before use.

Key ideas

• The proposed screen combines price amplitude with turnover and auction-volume ratios.
• It applies a bounded range to the product of prior turnover and relative auction volume.
• The author notes that the screen omits company fundamentals.
• Unusually high auction activity may be temporary or associated with market manipulation.
• The document provides no performance evidence, and its code outline should be checked against the written rule.

Tags

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