Screening Stocks by Intraday Range, Control Indicator, and Ten-Day Average

Summary

This screening rule selects stocks using three conditions: an amplitude greater than the stated threshold, a daily control indicator above its threshold, and an opening price near the ten-day moving average. The accompanying formulas calculate and cap a recent activity score, check the control indicator, and compare the open with moving-average values. The combined conditions are used to rank candidates.

The note characterizes the filters as combining price movement, market influence, and a technical reference level, but it provides no backtest results or evidence of profitability. It flags the lack of fundamental analysis, the lag in moving averages, and the risk that a narrow screen will miss many stocks. It also recommends incorporating other price-volume and fundamental measures and accounting for trading costs before using the screen.

Key ideas

• The screen combines an amplitude threshold, a daily control indicator, and an opening price near the ten-day moving average.
• The formulas create a capped activity measure and combine it with the other conditions for ranking.
• The document gives no performance evidence for the screening rule.
• Moving-average lag, limited fundamental analysis, and trading costs are identified as limitations.

Tags

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