Screening for Intraday Volatility, Afternoon Buying, and Sharp Declines

Summary

This short-term stock screen looks for three conditions: an intraday range above 1% of the prior close, afternoon large-order net inflow, and a daily maximum decline between 4% and 5%. The document frames the combination as a way to locate stocks that have fallen sharply but may have rebound potential. It provides indicator expressions and a Python example intended to scan listed shares.

The article gives no backtest or measured evidence for the rebound thesis. It warns that the rules use few inputs, leave out company fundamentals and the broader market, and focus on short-term weakness rather than longer holding-period behavior. It suggests adding financial and market context and using risk controls. The supplied formulas and example code are difficult to reconcile with the plain-language criteria, so the screen’s calculations should be checked before relying on its output.

Key ideas

• The screen combines an intraday range threshold, afternoon large-order inflow, and a daily decline in a narrow band.
• Its stated rationale is that a sharp short-term fall may leave room for a rebound.
• The document supplies example formulas and scanning code but no evidence of predictive performance.
• The author identifies missing fundamental and market context as important limitations.

Tags

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