Screening Stocks by Intraday Range, Price, and Best-Level Order Imbalance
Summary
This stock screen combines three conditions: daily high-low amplitude above 1%, closing price below 20, and displayed best bid volume greater than best ask volume. The document gives matching formula and Python examples, framing amplitude as a measure of price movement and the bid-ask size comparison as a rough indicator of buying pressure. It also suggests that turnover and trading volume could add context to the screen.
No backtest, performance data, or evidence of profitability is provided. The document cautions that order-volume data may be delayed or unreliable, which can produce false signals. The rules are technical filters rather than a valuation method, and their usefulness depends on accurate market data and further evaluation.
Key ideas
- The screen requires daily amplitude above 1% and a closing price below 20.
- It also requires displayed best bid volume to exceed best ask volume.
- The document presents bid and ask sizes as a possible gauge of buying pressure.
- Stale or inaccurate order-book data can lead to misleading selections.
- The document offers no backtest or performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.