Stock Screening by Price Range, Ten-Day Return, and Auction Value

Summary

The document describes a stock screen requiring an amplitude above 1%, a ten-day return greater than zero but below 35%, and ranking by the day’s auction amount, with the five highest-ranked stocks selected. Its rationale is to combine noticeable price movement with a positive but bounded recent gain, then favor names attracting greater value in the opening auction as a proxy for tradability.

The article includes a brief Python-style selection outline but no reported backtest, performance statistics, or precise execution rules. Its caveats are that the filters rely on price history and auction value without assessing company fundamentals, and that large orders can distort auction rankings. It suggests adding valuation measures, checking volume alongside auction value, and applying diversification and risk controls. The proposed rationale is not evidence that the screen produces superior returns; the threshold choices and auction data behavior would need independent evaluation.

Key ideas

• The screen filters for amplitude above 1% and a positive ten-day return below 35%.
• It ranks qualifying stocks by auction amount and selects the top five.
• Auction value is used as a liquidity-related signal, though large orders can distort it.
• The rule does not incorporate fundamental information and is presented without performance evidence.
• The article suggests adding valuation checks, volume confirmation, diversification, and risk controls.

Tags

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