Screening Stocks for Range, Relative Volume, and Prior-Day Strength

Summary

This note outlines an equity screen for stocks with a daily high-low range of at least 1% of the low, relative volume between 1.5 and 6 times its five-day average, and no limit-up close on the prior day. Its final stated selection rule also requires the current open to be below the previous close. The accompanying formula and Python example show how the author intends to express these filters using market data.

The proposed rationale is to find stocks with meaningful price movement and elevated but not extreme trading activity, while excluding stocks that closed at the daily upper limit. The note acknowledges market and individual-stock risk, and says the prior-day restriction can omit some strong stocks and may lose relevance as conditions change. It recommends combining the screen with other signals, dynamic exits, and position controls. No backtest, timing details, or evidence of profitability is supplied, and the formula examples do not fully reconcile every narrative condition.

Key ideas

• The range condition requires a high-low move of at least 1% of the low price.
• Relative volume must be between 1.5 and 6 times the five-day average.
• The screen excludes prior-day limit-up stocks and adds an open below the previous close.
• The note recommends risk controls but provides no performance evidence.

Tags

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