Screening Stocks by Intraday Range, Recent Limit-Ups, and Opening Gap

Summary

The document describes a stock screen that combines a minimum price range, a recent three-session limit-up pattern, and an opening auction return bounded between negative two and positive five percent. It frames the range and consecutive limit-ups as signs of movement and persistence, while treating the auction return as a short-term supply and demand clue. A code example is included, along with a suggestion to rank selected names by traded amount and a later preference for large established companies.

The source identifies several limitations: opening auction moves can be noisy, the screen omits company fundamentals, and broad market shocks can overwhelm stock-level signals. It suggests adding fundamental and technical filters and defining profit-taking and loss limits. The example does not provide a backtest or performance evidence, and its implementation context differs from the stated stock-selection rationale, so the exact signal definitions and applicability need verification.

Key ideas

• The screen combines price range, a recent limit-up streak, and a bounded opening auction return.
• The document treats the auction move as an imperfect indicator of short-term supply and demand.
• It proposes adding fundamental filters, other technical measures, and explicit exit controls.
• No backtest evidence is provided, and the code example's market context does not clearly match the stated stock screen.

Tags

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