Selecting Stocks by Intraday Range, Rising Moving Averages, and Auction Value

Summary

The document describes a stock screen that looks for shares with an amplitude above 1, an upward-spreading moving-average condition, and high auction trading value. It ranks qualifying stocks by auction value and selects the top five, aiming to combine price movement, an upward price signal, and market attention. The article also gives example indicator logic and a Python illustration, though the code includes a price-to-book filter that is not part of its stated final selection rules.

The screen is mechanical and does not assess company fundamentals or establish whether the signals predict returns. The article flags that auction value can be affected by large orders and that rigid rules or implementation bugs can omit candidates. It suggests adding valuation and company-quality measures, market-capitalization constraints, or manual review. No backtest, performance figures, or evidence of profitability is provided, so the selection rationale should be treated as a hypothesis rather than a demonstrated strategy.

Key ideas

• The screen selects stocks using amplitude, a rising moving-average condition, and auction trading value.
• It ranks candidates by auction value and keeps the top five.
• The example code includes a price-to-book filter that is absent from the stated final rules.
• Mechanical screening can miss fundamental information and may be affected by large auction orders or coding errors.
• The article proposes adding valuation, quality, and market-capitalization filters, 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.