Stock Screening with Daily Range, Auction Volume, Turnover, and Trend Filters

Summary

This proposed equity screen combines a daily amplitude threshold with a ratio involving the prior day's turnover and current auction volume relative to prior-day volume. It also uses a rising 30-day moving average as a trend filter. The discussion describes adding a close-above-prior-low condition to assess stability, and the example code includes price, volume, turnover, and market-cap filters.

The article gives no backtest or evidence that the combination improves returns. Its narrative and code do not align perfectly: the prose describes a 0.5-to-2 ratio range and a rising moving average, while the code uses derived volume calculations and price comparisons whose relation to those rules is unclear. The post itself flags the possibility of missed opportunities, poor selections, and sensitivity to market, policy, or company changes. It suggests further liquidity, indicator, and fundamental analysis, but does not validate those extensions.

Key ideas

• The screen combines daily price amplitude with a turnover and auction-volume ratio.
• A rising 30-day moving average is intended to favor stocks with upward trends.
• The description adds a close-above-prior-low filter, while the sample code is not fully consistent with the prose.
• No performance results are provided, and the author notes that fixed criteria can misclassify stocks.

Tags

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