A Short-Term Stock Screen Using Range, Two-Day Highs, and Positive Returns

Summary

This note describes a daily stock selection rule that combines an intraday range above 1%, a high matching the highest level over the prior two days, and a positive close-to-close return. The combination aims to find stocks showing recent price strength and short-term activity. It also gives formula and Python-style examples for calculating the conditions and combining them into a screen.

The note cautions that the screen omits company fundamentals, valuation, and governance, so it may select risky stocks or miss stronger long-term businesses. It suggests adding market, industry, and fundamental factors and applying risk controls, but does not specify how to measure or validate those additions. No backtest results or performance evidence are provided, so the rule is presented as a screening concept rather than a demonstrated strategy.

Key ideas

• The screen looks for an intraday range above 1%, a two-day high, and a positive return.
• The conditions are intended to identify stocks with short-term upward price action.
• The note proposes adding industry, market, and fundamental factors to broaden the screen.
• It provides no performance results and warns that the rule overlooks important company and risk information.

Tags

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