Screening Stocks by Intraday Amplitude, RSI, and Auction Amount
Summary
The screen first requires price amplitude above 1 and an RSI reading below 65, then ranks qualifying stocks by the day’s auction amount and keeps the top five. The amplitude condition looks for movement during the session, while RSI serves as a technical filter and auction amount acts as an activity or liquidity proxy. The document gives the amplitude calculation, references an RSI period N without specifying its value, and includes a brief pseudocode example.
No empirical results, backtest, or comparison with alternative thresholds are presented, so the claimed potential for a more reliable selection is unverified. The screen may overlook attractive stocks outside the highest auction ranks, and technical indicators can lag or misclassify conditions. Suggested additions include earnings, free cash flow, and return on equity, along with empirical testing and refinement. The text does not define execution timing, portfolio sizing, or risk limits, and those omissions prevent the screening rules from constituting a complete trading strategy.
Key ideas
- The screen filters for amplitude above 1 and RSI below 65, then ranks by auction amount.
- It retains the five highest-ranked qualifying stocks by auction value.
- The RSI period is left unspecified, and no test results support the proposed screen.
- Auction ranking can exclude stocks with potential value, while technical readings can lag or mislead.
- The document suggests adding fundamental measures and conducting empirical evaluation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.