Screening Stocks for Recent Price Surges and Positive Opening-Auction Flows

Summary

This post proposes a short-term stock selection screen using three conditions: daily range greater than one, at least one single-day gain of ten percent or more during the preceding 25 trading days, and positive net buying attributed to major participants in the opening auction. The rationale is to combine volatility, evidence of a recent sharp upward move, and a possible inflow of capital. It also suggests adding other flow measures and technical indicators, as well as company and industry information.

The post does not report returns, a sample, or a backtest, so it offers a screening concept rather than evidence that the conditions predict future gains. Its examples do not fully implement the stated lookback rule: they compare a daily close change to a ten percent threshold, while the written condition asks whether such a move occurred at any point in the prior 25 sessions. The author also warns that opening-auction flow data can be unstable and that short lookbacks may miss persistent flows or broader market and company factors.

Key ideas

• The proposed screen requires daily range above one, a ten-percent-or-greater daily gain within the last 25 sessions, and positive opening-auction net buying.
• The conditions are presented as proxies for volatility, recent upward momentum, and capital inflow.
• The illustrative formulas do not fully encode the written 25-session lookback condition.
• The post gives no performance evidence and flags unstable flow data and missing fundamental context.

Tags

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