Equity Screening with Price Expansion and Positive Auction Flows

Summary

This short-term stock selection rule looks for equities with a daily price range above 1, a rising and spreading set of moving averages, and positive net buying by large participants during the opening auction. The stated rationale is to find shares showing both elevated recent movement and buying interest. The article also discusses adding fundamental information or other technical indicators, such as MACD or RSI, when refining the screen.

The document provides formula and Python examples, but the examples do not consistently implement the stated selection rule: the Python snippet adds book-value and market-capitalization filters and uses historical data calls, while the written rule refers to auction net buying and a particular moving-average relationship. No backtest results or performance evidence are presented. The article cautions that large price swings are risky, auction-flow emphasis can neglect company fundamentals, strict filters may exclude less active candidates, and the approach can miss longer-term opportunities. Treat the screen as an idea requiring precise data definitions and independent testing.

Key ideas

• The screen combines a price-range threshold, upward moving-average configuration, and positive opening-auction net buying.
• The rationale is to identify active stocks with signs of buying interest.
• The supplied code examples include extra filters and do not clearly match every element of the written rule.
• The article offers no performance results and highlights volatility, fundamentals, and screening strictness as limitations.

Tags

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