Stock Selection Using Intraday Range, Turnover, and Opening Gap

Summary

This short-term stock screen uses three technical conditions: daily amplitude of at least 1%, turnover above 2% and below 9%, and an opening price change between −2% and 5% relative to the previous close. The article frames the range and turnover filters as measures of price movement and market participation, while the opening change is intended to constrain the initial market reaction. It provides a screening formula and a Python example, though the example adds implementation details beyond the stated selection rule.

The document gives no backtest, historical sample, or performance evidence. It warns that a technical-only screen can omit fundamental information and that opening price moves may reflect short-term sentiment, increasing exposure to volatility. It suggests adding indicators such as MACD or RSI and treating the opening-change bounds as adjustable parameters, but does not test those changes. The formula and code should be checked carefully against the intended definitions: some implementation details differ from the stated amplitude and turnover filters, and the Python example applies extra conditions.

Key ideas

• The screen requires amplitude of at least 1%, turnover between 2% and 9%, and an opening gap between −2% and 5%.
• The opening-gap filter is intended to limit the range of short-term market reactions.
• The article cautions that technical-only selection may miss fundamental factors and can be sensitive to short-term volatility.
• No backtest is given, and the code example includes conditions that differ from the stated screen.

Tags

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