A Stock Screen Using Price Range, Turnover, Auction Volume, and Limit Prices

Summary

This stock-selection post describes a screen based on four market observations: daily price amplitude above a threshold, a prior-day turnover measure scaled by the ratio of current auction volume to prior-day volume, a specified range for that combined ratio, and a prior 9:15 matching price at the lower price limit. The author presents the conditions as a way to combine volatility, liquidity, and auction behavior when finding potential candidates.

The article says the method uses simple technical and trading-activity inputs, with no fundamental or sector analysis, and warns that limit-price data may be unreliable or that trading halts can cause missed opportunities. It suggests adding valuation measures and considering industry and policy conditions, as well as allowing some tolerance around the limit-price condition. A Python example begins but is truncated, and no backtest, sample, or performance evidence is provided. The selection logic is therefore a screening proposal whose data definitions and predictive value would need independent validation.

Key ideas

• The screen combines price amplitude, turnover scaled by auction volume, and a prior opening-auction limit-price condition.
• The author frames the inputs as measures of volatility, liquidity, and trading activity.
• The post warns that the screen omits company fundamentals and broader market context.
• Limit-price data errors and trading halts may affect candidate selection.
• The article provides no complete code or performance evidence for the proposed rules.

Tags

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