Screening Stocks by Range, Five-Day Average, and Auction Turnover

Summary

This stock-selection example combines three filters: daily price amplitude above a threshold, price or average price above the five-day moving average, and previous-day opening-auction turnover above a threshold. The accompanying explanation treats a larger range as a sign of price movement, position above the short moving average as a sign of relative strength, and auction turnover as a possible sign of trading interest. It includes formula examples for constructing the conditions and describes combining them into a screen.

The article warns that high auction turnover can reflect speculative activity and that volatile stocks carry greater risk. It suggests adding measures such as volume or RSI for further screening. The examples are illustrative rather than validated: no backtest, transaction-cost analysis, or out-of-sample results are supplied, and the text gives slightly different threshold representations across its explanations and code. The screen should therefore be treated as a hypothesis requiring careful implementation and evaluation.

Key ideas

• The screen selects stocks using price amplitude, position relative to a five-day moving average, and auction turnover.
• The article interprets the filters as signs of price movement, relative strength, and market interest.
• It flags speculative turnover and elevated volatility as risks.
• Volume and RSI are suggested as possible additional filters.
• The examples provide no performance evidence and contain threshold inconsistencies that require checking.

Tags

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