Combining Auction Limit-Down Signals with Recent Momentum

Summary

The document proposes an equity screening rule that combines a large intraday range, a prior-day 9:15 auction price matching a limit-down condition, and at least one large up day during the preceding 25 trading days. Its later, expanded version adds a price-to-earnings ceiling and a turnover threshold, then ranks candidates by a heat measure. The intended logic is to find stocks with a recent strong move that also show a sharp auction or price dislocation.

The source characterizes the screen as mainly technical and notes that the lookback condition may delay entries or miss opportunities. It also warns that sector themes can distort signals and suggests combining price conditions with fundamental and quantitative measures. Formula and Python examples are included, but the Python sketch uses platform-specific fields and functions, and the document supplies no backtest, execution analysis, or evidence that the screen is profitable. Its thresholds and auction condition would need careful market-specific validation.

Key ideas

• The initial screen combines intraday amplitude, a prior-day auction limit-down condition, and a recent large up day.
• The expanded screen adds valuation and turnover filters and ranks candidates by a heat measure.
• A recent-rise lookback can make signals lag and cause missed entries.
• Sector themes may affect the rule, and fundamental or quantitative filters are proposed as additions.
• The examples are not accompanied by performance testing and may depend on platform-specific data and functions.

Tags

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