A Momentum Screen Using Ten-Day Returns and Relative Volume

Summary

This post describes a stock screen using a price-range threshold, a positive but capped return over the prior ten days, and relative volume bounded between stated limits. The rationale is to select stocks with some recent upward movement and above-average trading activity while excluding moves considered excessively large or volume considered unusually high. The post also suggests combining the conditions with other indicators, diversifying selections, and evaluating the rules through backtesting or simulated trading.

It provides formula and Python references but reports no backtest results, transaction assumptions, or evidence that the filters predict future returns. The text has implementation inconsistencies: the prose gives one lower bound for relative volume while the code uses another, and the Python sample additionally sorts by a heat score. The price-range condition is also described in a way that may not match the code. These discrepancies mean the intended screen should be clarified before its behavior is assessed.

Key ideas

• The proposed screen requires a positive return over ten days that stays below a stated upper bound.
• It also uses a price-range condition and a bounded relative-volume filter to qualify stocks.
• The post recommends broader screening, diversification, and backtesting or simulation as possible refinements.
• No evidence is provided that the conditions produce profitable or risk-adjusted returns.
• The prose and examples differ on some thresholds and implementation details.

Tags

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