Stock Screening with Range Expansion, Two-Day Highs, and Auction Buying

Summary

This stock-selection rule combines three conditions: daily amplitude above 1, a high matching the highest value across the current and prior day, and positive net buying pressure during the opening auction. The document gives formula and Python examples that calculate these conditions and use them to filter stocks. It frames the combination as a way to consider price movement, recent highs, and auction order flow together.

The note offers no backtest, performance data, or detailed definitions for the platform-specific auction buying measure, so the strategy’s predictive value is not established. It warns that the screen omits company fundamentals and that auction net buying can fluctuate. It recommends considering fundamentals, industry conditions, and price trends alongside the signals; the stated conditions alone do not demonstrate long-term potential.

Key ideas

• The screen requires amplitude above 1 and a high equal to the highest high across two days.
• It also requires positive net buying pressure during the opening auction.
• The document provides example formulas for implementing the three filters.
• Auction buying can be volatile, and the screen does not account for company fundamentals.

Tags

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