Stock Screening by Intraday Range, Volume, Gap, and Auction Return

Summary

This post presents a technical stock screen based on a prior-session price range above 1, current volume above 10,000 lots, an opening price above the previous close, and an auction return between -2% and 5%. Its premise is to find active stocks with substantial trading and a potentially favorable opening setup. It also gives example implementations and suggests adding moving averages, MACD, and valuation or profitability measures for broader screening.

The post warns that the rules omit company fundamentals and other sources of risk, and that focusing on the opening auction ignores later intraday price movements. It does not provide backtest results or evidence that the selection criteria predict returns. The implementation examples and the stated logic may not align perfectly, so the screen should be understood as a heuristic description rather than a validated trading system. Any evaluation would need clear data definitions, point-in-time inputs, and testing that accounts for execution and risk.

Key ideas

• The screen combines a price-range threshold, high current volume, a positive opening gap, and a bounded auction return.
• The post characterizes the criteria as a technical way to identify active stocks with favorable opening conditions.
• It recommends adding trend indicators and fundamental measures for a broader assessment.
• It cautions that auction-focused screening overlooks later intraday moves and fundamental risks.
• No performance testing is provided, and the example implementations may not precisely match the stated rules.

Tags

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