Daytrading

Screening Filters

1. Market Cap ≥ $500M

   • Purpose: Focus on mid- and larger-cap stocks.
   • Rationale:
     • Day traders generally prefer more established companies because:
       • They tend to have tighter bid-ask spreads.
       • Price action is less erratic than many micro-caps or penny stocks.
     • A $500M+ market cap threshold helps avoid ultra-illiquid, easily manipulated names that can be risky and hard to trade in and out of intraday.

2. Monthly Average Dollar Volume ≥ $1,000,000

   • Purpose: Ensure sufficient liquidity for intraday trading.
   • Rationale:
     • Dollar volume = price × volume. Filtering for at least $1M/day (on average) means:
       • There’s enough money flowing through the stock to support intraday entries and exits without moving the price too much.
       • Orders (especially larger ones) are more likely to be filled quickly.
     • Liquidity is critical for day trading because you need to be able to get in and out fast, often multiple times a day, without excessive slippage.

3. Relative Volume ≥ 1.5

   • Purpose: Find stocks trading at least 50% above their usual volume.
   • Rationale:
     • Relative volume compares current volume to average volume. A value ≥ 1.5 indicates unusually high activity.
     • For day traders, this is essential because:
       • Elevated volume usually comes with catalysts (news, earnings, upgrades/downgrades, sector moves) that create larger intraday price swings.
       • High relative volume often brings tighter spreads and better order execution.
     • In short, this filter picks out “in play” stocks where there is active participation and volatility—core ingredients for day trading setups.

4. Price Change % Between -50% and -2% (recent period)

   • Purpose: Target stocks that have sold off meaningfully, but not completely collapsed.
   • Rationale:
     • A decline between -2% and -50% (depending on the time frame used in the screener) flags:
       • Names that may be oversold or under pressure—often fertile ground for intraday bounces, reversals, or continuation short trades.
       • Enough movement to be interesting, but avoiding total disasters (e.g., -80% on fraud/news) where risk can be extreme or liquidity may vanish.
     • For day trading, such stocks often:
       • Have clear intraday levels (support/resistance) to trade against.
       • Attract short-term traders and algos, further boosting intraday moves.

Why Results Match a Day Trading Focus

• The market cap and dollar volume filters work together to ensure you’re looking at liquid, tradable names where you can execute intraday strategies efficiently.
• The relative volume filter focuses on stocks “in play” today, with unusual activity and volatility—exactly what short-term traders usually want.
• The negative price change range highlights stocks under pressure or oversold, which are popular for intraday strategies such as:
  • Mean reversion (playing oversold bounces),
  • Momentum continuation (shorting continued weakness),
  • Breakout/breakdown plays around key intraday levels.

Together, these filters are aimed at surfacing liquid, actively traded, volatile stocks with recent downside movement, which are typical candidates day traders watch for short-term opportunities.