Screening Equities by Prior-Day Range, Leaderboard Listing, and Volume Ratio

Summary

This stock screen combines three conditions: the prior day’s price range exceeds 1%, the stock appeared on the prior day’s trading leaderboard, and a volume measure falls between 0.5 and 2. The volume measure multiplies prior-day turnover by today’s auction volume divided by prior-day volume. The article includes formula and Python examples, then sorts qualifying names by price in descending order.

The author presents range as a measure of short-term movement, leaderboard inclusion as a sign of possible speculative attention, and the volume condition as a participation filter. The article cautions that simulated results may differ from live outcomes, leaderboard stocks can reflect volatile sentiment, and volume signals can lag or mislead. It suggests adding valuation measures and risk controls. It provides no backtest results, and the formula’s ranking and data conventions may need verification before use.

Key ideas

• The screen requires a prior-day price range above 1% and prior-day leaderboard inclusion.
• It filters on prior turnover multiplied by the ratio of auction volume to prior-day volume.
• The example ranks qualifying stocks by price, although the core screen does not establish a trading rule.
• The article warns about sentiment swings, lagging volume measures, and differences between simulation and live results.
• No profitability evidence is reported.

Tags

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