Screening for Early-Morning Breakouts in Small-Float Stocks

Summary

The document proposes a stock screen combining intraday amplitude above 1, excluding ST-designated stocks, selection before 10 a.m., a named five-step limit-up method, and floating shares no greater than 5.5 billion. It describes float as a measure related to tradability and company size, and provides an example implementation that filters by amplitude, stock name, time, and float. The code operationalizes the named method as the current close matching the rolling five-session high, but the strategy description does not explain the five-step method or provide evidence that this proxy captures it.

The document flags subjectivity in defining the float threshold and suggests adding technical and fundamental filters, such as moving averages, MACD, valuation ratios, and book-value measures. It does not report performance results or specify how the screen should handle intraday data, price limits, liquidity, or execution. The early selection time and breakout-oriented conditions may be relevant to short-term trading, but the provided material is insufficient to evaluate profitability or risk-adjusted performance.

Key ideas

• The proposed screen combines amplitude above 1, non-ST status, selection before 10 a.m., a five-step limit-up condition, and a float ceiling of 5.5 billion shares.
• The example code represents the named limit-up method as a close at the rolling five-session high.
• The document identifies the float cutoff as potentially subjective and recommends defining it more precisely.
• It suggests adding technical and fundamental filters but provides no performance evidence.
• The method’s intraday data requirements, execution assumptions, and risk controls are not described.

Tags

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