A Stock Screen Combining Daily Range and Volume Growth

Summary

This post proposes a stock-selection screen that combines a daily high-low range threshold, a calendar-year filter for 2021, and a condition intended to identify an increase in trading volume. Stocks passing the conditions enter a candidate pool. The article interprets a larger range as higher volatility and the volume condition as a possible sign of capital inflow, then supplies example indicator and Python implementations of the screen.

The post warns that high-range stocks can carry greater risk, that the volume measure may change sharply, and that the rules omit company fundamentals and industry context. It suggests adding valuation and profitability measures and adjusting thresholds. The supplied implementations express the volume condition differently, so the intended “increase share” calculation is not consistent across examples; the post also gives no backtest, benchmark, transaction-cost analysis, or evidence that the screen predicts returns. Treat it as a simple candidate filter rather than a validated investment strategy.

Key ideas

• The proposed screen combines a daily range threshold, a 2021 date filter, and a volume-growth condition.
• The post treats higher price range as a volatility signal and increased volume as a possible indication of capital inflow.
• It acknowledges that high-range stocks carry elevated volatility risk and that the rules omit fundamentals and industry conditions.
• The two supplied implementations calculate the volume condition differently, creating ambiguity about the intended rule.
• No backtest or performance evidence is provided, so the screen is not validated as a return-generating strategy.

Tags

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