Stock Screening with Volatility, Institutional Activity, and Rising Lows

Summary

This document describes an intraday stock screen combining three conditions: an amplitude indicator above a threshold, a change in a proxy for institutional trading activity, and a low price that differs from its highest low over a recent window. It presents the screen as a way to find volatile stocks with signs of support and possible rebounds. The described selection is made after the market opens.

The rationale is that volatility may reveal active trading, institutional flow changes may suggest interest, and rising or supported lows may indicate a potential floor. The document supplies indicator formulas and an illustrative Python example, but does not report a backtest or performance evidence. Its code also relies on specific data fields and includes implementation gaps, so the screen would need careful validation against actual data. The author cautions that volatility increases risk, rising lows do not ensure gains, and indicator usefulness may vary by market conditions. Suggested refinements include adding valuation, earnings, and volume measures and assigning weights to the inputs.

Key ideas

• The screen combines an amplitude threshold, a change in institutional activity proxy, and a low-price condition.
• It is intended to identify volatile stocks that may be forming support.
• The selection is run after the market opens.
• The document provides formulas and sample code but no performance results.
• Volatile stocks and technical support patterns can fail, so the method requires risk controls and validation.

Tags

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