Day trading

Screening Filters

1. Price: $10–$150

   • Purpose: Focus on reasonably priced, actively traded stocks suitable for intraday trading.
   • Rationale:
     • Under ~$10, spreads can widen and slippage can increase, making precision day trading harder.
     • Very high-priced names can require more capital per share and move in larger dollar increments, which can magnify risk per trade.
     • The $10–$150 range tends to capture many “core” trading names that institutions and active traders focus on.

2. Monthly Average Dollar Volume: ≥ $3,000,000

   • Purpose: Ensure strong liquidity so you can enter and exit quickly.
   • Rationale:
     • Dollar volume (price × volume) is a better liquidity gauge than share volume alone.
     • Higher dollar volume usually means tighter bid–ask spreads and better order execution, which are critical for day trading where small price moves matter.
     • It reduces the risk of getting “stuck” in a position because there aren’t enough buyers or sellers.

3. Relative Volume: ≥ 1.5

   • Purpose: Find stocks trading at least 1.5 times their normal volume today—i.e., “in play” names.
   • Rationale:
     • Day traders focus on stocks with unusual activity; elevated volume usually signals news, catalysts, or strong interest.
     • Higher relative volume often leads to bigger intraday price swings (more opportunity) and better liquidity at each price level.
     • This filter surfaces stocks that are currently attracting attention, not just generically liquid names.

4. Price Change %: -100% to -2.5% (down on the day)

   • Purpose: Target stocks that are meaningfully red on the day (down at least 2.5%).
   • Rationale:
     • Many day trading strategies focus on momentum (shorting continued weakness) or mean reversion (buying oversold intraday bounces).
     • By focusing on notable losers (but not those that are completely halted or at zero), you get a list of candidates where there is clear selling pressure, potential panic, and thus tradable intraday patterns.
     • The -2.5% cutoff avoids tiny moves that may not be worth trading.

5. Index Component: S&P 500 (GSPC) or Nasdaq 100 (NDX)

   • Purpose: Limit the universe to large, well-followed, institutionally traded companies.
   • Rationale:
     • Index constituents tend to have:
       • Consistent liquidity
       • Tighter spreads
       • Better availability for shorting (important for short-side day strategies)
     • These names often react strongly to macro news and sector rotation, which can be exploited intraday.
     • It avoids the most speculative microcaps where risk, gaps, and manipulation can be extreme.

6. Exchange Listing: NYSE (XNYS), Nasdaq (XNAS), NYSE American (XASE)

   • Purpose: Restrict results to major U.S. exchanges.
   • Rationale:
     • Major exchanges enforce listing standards, which usually means better transparency, more stable liquidity, and narrower spreads.
     • This excludes OTC and very illiquid venues, which are generally unsuitable and risky for most day traders.

Why Results Match the User’s Day Trading Interest

• The filters collectively surface liquid, actively traded large-cap U.S. stocks that are moving down significantly today with higher-than-normal volume.
• That universe is ideal for illustrating and implementing common day trading strategies, such as:
  • Momentum continuation (trading with the current intraday trend).
  • Intraday mean reversion (looking for bounces after sharp declines).
  • News/catalyst trades (since elevated relative volume often means a catalyst).
• By focusing on index components with strong dollar volume and elevated relative volume, the screener avoids thin, erratic names and instead identifies high-probability, technically tradable setups where execution quality and risk control are more manageable for day traders.