Stock Screening with Volatility, Institutional Participation, and Auction Buying

Summary

This equity screening proposal combines a price-amplitude threshold with institutional participation and positive net buying by major participants during the opening auction. Its final stated conditions specify amplitude above 1, institutional participation above 30% over five days, and auction net buying that is positive and exceeds auction net selling. The document includes indicator references and a sample Python outline, but no tested portfolio results.

The rationale is to find active shares with institutional interest and buying pressure. The stated limitation is that auction flow alone can be narrow and potentially misleading. The author suggests incorporating other flow sources, such as large trades and trading disclosures, and adding further analytical filters. The sample implementation is illustrative and does not establish data availability, calculation correctness, or live-trading performance, so the criteria should be validated against reliable data before use.

Key ideas

• The final screen combines amplitude above 1, institutional participation above 30% over five days, and positive auction net buying greater than selling.
• The proposed rationale links active price movement and institutional presence with opening-auction demand.
• The document provides indicator references and illustrative code but no backtest evidence.
• Relying only on auction flow may produce a narrow or misleading view of market interest.
• Additional flow information and validation are suggested but not demonstrated.

Tags

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