Screening Stocks by Intraday Drawdown, Amplitude, and Opening Move

Summary

The document describes a short-term stock screen that combines daily amplitude, the day’s maximum decline, and the stock’s gain at 9:25. It selects stocks with amplitude above 1, a maximum decline between 4% and 5%, and a 9:25 gain below 6%. The proposed rationale is to use amplitude as a measure of price movement, the decline as a possible reversal setup, and the early quote as a short-term signal.

The document provides example indicator and Python implementations, but these do not clearly match the stated rules: the code refers to percentage change and prior-day values, and the Python example compares data points in a way that may not represent the 9:25 move. No backtest, performance results, or execution details are supplied. The author cautions that these simple inputs can produce false signals and that the 9:25 move may differ from later price action; suggested improvements include adding fundamental factors and using more stable measurements.

Key ideas

• The screen combines amplitude above 1 with a maximum daily decline between 4% and 5%.
• It also requires the stock’s 9:25 gain to be below 6%.
• The proposed reversal rationale relies on simple short-term price measures, without empirical performance evidence.
• The example implementations may not faithfully express the described timing and conditions.
• The document recommends broader analysis and cautions that early-session moves can diverge from later trading.

Tags

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