Screening Stocks by Daily Range, RSI, and Auction Turnover

Summary

This stock screen selects shares with a daily high-low range above 1 percent, RSI below 65, and previous-day auction turnover above 0.26. The article explains auction turnover as a measure of market activity and includes formula references and a Python-style example for combining the indicators. Its proposed final version adds a price-to-earnings ratio below 30, alongside a recommendation to consider company and industry fundamentals.

The document frames the rule as a way to find active shares with possible short-term upside, but gives no backtest, returns, or validation evidence. It warns that technical and market activity measures alone can select low-quality companies. It proposes adding information such as cash flows, trading volume, order-book activity, and other market factors. The supplied screening logic is a candidate filter, not a complete portfolio or trade-management method.

Key ideas

• The screen combines a daily range above 1 percent, RSI below 65, and previous-day auction turnover above 0.26.
• The proposed final criteria also require a price-to-earnings ratio below 30.
• The article treats auction turnover as an indicator of stock activity and potential short-term interest.
• No backtest results or evidence of returns are provided.
• The article recommends adding company, industry, and other market information to reduce quality risks.

Tags

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