Stock Screening by Intraday Range, Afternoon Flows, and Positive Return

Summary

This stock screen selects shares with an intraday high-low range above a stated threshold, a proxy for afternoon large-order net inflow, and a positive return from open to close. It frames the conditions as a way to find volatile stocks with apparent buying support that also finish the day higher. The post gives formula references and a sample Python workflow for applying filters to daily stock data, though the implementation details do not fully establish that the afternoon flow measure is directly observed.

The author warns that the screen may favor small-cap or illiquid names whose short-term gains reflect speculation, and that changing market conditions can weaken it. Suggested additions include valuation, financial, and technical measures. No backtest results, transaction costs, selection universe validation, or out-of-sample evidence are provided, so the rules should be treated as a screening hypothesis rather than a demonstrated strategy.

Key ideas

• The screen combines a minimum intraday range, an afternoon flow proxy, and positive open-to-close performance.
• The flow condition is expressed through a price and volume calculation.
• The post identifies speculative moves and low liquidity as key risks.
• It proposes adding fundamental and technical measures but provides no performance validation.

Tags

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