Stock Screening with Price Range, Five-Day Average, and Bid Volume

Summary

This note describes a stock screen combining three conditions: daily price range above a stated threshold, price above its five-day moving average, and first-level bid volume greater than ask volume. It presents these as signs of volatility, a stronger short-term price position, and buying interest, respectively. Formula and Python examples illustrate how the conditions might be combined into a filter.

The note gives no performance results or backtest evidence. Its examples are not fully consistent about the price-range threshold, and the volume calculation depends on the data fields and their definitions. A larger best bid than best ask does not ensure subsequent gains, while the filters may exclude other candidates. The author recommends adding technical and fundamental analysis and considering broader market conditions before using the screen.

Key ideas

• The screen requires price range above a threshold, price above the five-day average, and bid volume exceeding ask volume.
• The conditions are presented as indicators of volatility, short-term price strength, and buying interest.
• The examples show how the filters can be combined, but use inconsistent interpretations of the range threshold.
• The note provides no evidence of profitability and cautions that bid-side volume alone does not predict rising prices.
• Additional technical, fundamental, and market analysis may help assess candidates.

Tags

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