A Stock Screen Combining Daily Range, the Five-Day Average, and a Prior Limit-Down Match

Summary

This note describes a short-term stock screen using three conditions: daily price amplitude above a threshold, price above its five-day moving average, and a prior-day 9:15 matched price at the limit-down level. It interprets the range as a sign of volatility, the moving average as an indication of an upward trend, and the limit-down event as a possible rebound setup.

The document includes example implementations and suggests adding company fundamentals and profit-taking or stop-loss rules. It gives no backtest, performance figures, or evidence that a rebound follows the specified limit-down condition. The screen may select stocks that continue to fall, and its rationale does not establish predictive value. The examples also differ in how they express the amplitude threshold, so implementation details require care.

Key ideas

• The screen combines a daily amplitude condition with price above the five-day moving average and a prior-day 9:15 limit-down match.
• The note treats volatility and short-term trend as selection signals and the limit-down match as a possible rebound clue.
• It recommends considering fundamentals and defining exit rules alongside the screening conditions.
• No performance evidence is provided, and a limit-down event may precede further losses.

Tags

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