Stock Screening with Intraday Range, Turnover, Volume, and Opening Strength
Summary
The document describes an equity screen seeking stocks with an intraday range of at least 1%, turnover above 2% and no more than 9%, volume above 10,000 lots, and an opening price close to the high. It frames these conditions as filters for volatility, trading activity, liquidity, and opening strength. The post also provides example platform logic and a data-provider workflow for applying the conditions.
No backtest results or evidence of predictive performance are reported. The author cautions that price behavior alone omits company fundamentals and suggests adding momentum or relative-strength measures, fundamental analysis, and risk controls. The stated thresholds and opening-price test are screening choices, not demonstrated sources of returns; implementation should also account for data definitions and execution costs.
Key ideas
- The screen combines a minimum intraday range with a bounded turnover interval.
- It requires reported volume above 10,000 lots and an opening price near the session high.
- The post offers no performance evidence for the selection rules.
- The author recommends supplementing price-based filters with fundamental and risk measures.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.