Screening Stocks with Price Strength and Auction Buying Activity

Summary

This article proposes selecting stocks with an amplitude above 1, a price above its five-day moving average, and large or extra-large buy orders during the opening auction totaling more than 0.7 million. It combines a volatility-related filter, short-term price positioning, and an order-flow condition. The accompanying example ranks qualifying stocks by traded value and keeps a limited list.

The article provides a rationale based on short-term price and buying activity, but no backtest or performance results. It warns that the screen can overlook company fundamentals and broader industry trends, and that attention to short-term flows may encourage chasing prices. It recommends adding fundamental analysis and a risk-control process. The code is presented as a reference and may require changes for practical use, so the stated filters should be treated as an unvalidated screening idea.

Key ideas

• The screen requires amplitude above 1 and price above the five-day moving average.
• It adds an opening-auction condition for large and extra-large buy orders totaling more than 0.7 million.
• The proposed filters combine volatility, short-term price trend, and order-flow information.
• The article provides no performance testing and warns that fundamentals and risk controls are missing.

Tags

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