I know this can be done on an intraday basis, but your looking for daily activity from the previous day. This might work for you: <a href="http://www.trade-ideas.com/StockInfo/_ScreenerScan.html?SYMBOLS_PP=25&sort1=MaxVWVP&sort2=None&sort3=None&MinGUR=1&MaxFCDP=-.05&XN=on&X_NYSE=on&X_AMEX=on" rel="nofollow" target="_blank">http://www.trade-ideas.com/StockInfo/_ScreenerScan.html?SYMBOLS_PP=25&sort1=MaxVWVP&sort2=None&sort3=None&MinGUR=1&MaxFCDP=-.05&XN=on&X_NYSE=on&X_AMEX=on</a>