Stock Screening with Wide Ranges, Rising Lows, and Auction Volume

Summary

This proposed equity screen combines three technical conditions: daily amplitude above 1, a rising price floor, and a ratio based on the previous day’s turnover multiplied by today’s auction volume relative to the previous day’s volume. The ratio must fall between 0.5 and 2. The post also suggests adding fundamental filters, such as valuation and earnings measures, and offers indicator and Python sketches for implementing the selection logic.

The author frames the conditions as a way to combine price movement, price structure, and auction activity, but supplies no backtest or live-trading evidence. The post notes that the screen focuses on technical data and omits fundamentals and policy conditions, which may limit its usefulness for longer-term investing. Its code excerpts use several unspecified window parameters and describe some calculations inconsistently, so the precise definitions would need to be checked before testing. The method is best treated as a screening hypothesis rather than a validated strategy.

Key ideas

• The screen requires amplitude above 1 and a pattern of rising lows.
• It constrains a turnover and auction-volume ratio to lie between 0.5 and 2.
• The author proposes adding fundamental and policy-related filters to the technical conditions.
• The post offers code sketches but does not report backtest or live performance.
• Unspecified parameters and inconsistent explanations make the formulas worth verifying before use.

Tags

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