A Stock Screen Using Range, the 10-Day Average, and Volume Imbalance

Summary

This stock-selection rule combines three short-term conditions: daily amplitude above 1%, an opening price within about 5% of the 10-day moving average, and buying-side volume more than 1.3 times selling-side volume. The accompanying explanation interprets the range filter as a way to find active shares, the moving-average condition as a possible sign of consolidation, and the volume ratio as evidence of stronger buying pressure. The examples describe sorting qualifying stocks by volume.

The page gives formula and Python-style illustrations, but it does not report a backtest, returns, or risk-adjusted results. It cautions that short-term price action and order-flow proxies can miss company fundamentals and other drivers. It suggests adding fundamental criteria and broader measures of capital flow, such as turnover or ownership, while giving no tested specification for those additions. The rule therefore serves as a screening idea, not demonstrated evidence of a profitable strategy; the definitions and implementation of its volume measures also warrant verification.

Key ideas

• The screen requires amplitude above 1%, an open near the 10-day moving average, and a buy-to-sell volume ratio above 1.3.
• The moving-average condition is implemented as an opening price within 5% above or below the average.
• The examples use recent up-close and down-close volume to approximate buying and selling pressure.
• The page provides no performance test and warns that technical and flow conditions omit fundamental information.

Tags

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