Short-Term Stock Screening by Range, High, and Auction Amount

Summary

This stock-screening rule selects shares whose daily range exceeds 1%, whose current high matches the highest high across the current and previous day, and whose auction amount ranks among the top five. The document presents the conditions as a way to identify stocks showing short-term activity and price strength. It also gives formula references for calculating the range, checking the two-day high, and ranking by auction amount.

The source cautions that the screen omits company fundamentals and macroeconomic conditions, and that activity-focused selection may overlook longer-term value and direction. It suggests adding business and industry analysis, but does not define those filters or provide backtest results, a holding period, entry and exit rules, or evidence of profitability. The ranking field and auction data conventions may depend on the platform, so the screen requires validation before use.

Key ideas

• The screen requires a daily range above 1% and a high equal to the maximum of the current and prior day highs.
• It ranks qualifying stocks by today’s auction amount and retains the top five.
• The rule focuses on short-term activity and price behavior rather than fundamentals.
• The document recommends considering company, industry, and macroeconomic factors alongside the screen.
• No backtest or trading rules are supplied to establish profitability.

Tags

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