A Stock Screen Combining Rising Lows, Volatility, and Positive Returns

Summary

This Chinese-language post proposes an equity screen using three conditions: amplitude above a threshold, rising price lows, and positive returns. The rationale is to exclude stocks with little movement, identify a potential base with progressively higher lows, and favor stocks whose measured returns are positive. A formula example measures returns against a prior close, while a Python example uses historical daily prices and checks recent lows. The implementations are not fully consistent about the amplitude calculation or the definition of rising lows.

The post identifies important limitations: it does not define the return horizon, so a short-term gain may obscure weaker longer-term performance, and an unnormalized return measure may be affected by the stock's price level. It suggests adding valuation and technical indicators, using annualized return and return volatility, and applying controls such as stop-losses. No backtest, market comparison, or performance results are supplied, so the screen is a hypothesis for further testing rather than demonstrated evidence of an edge.

Key ideas

• The screen combines a minimum amplitude, rising lows, and positive returns to select stocks.
• The post leaves the return horizon unclear, making results sensitive to the chosen measurement period.
• Its examples use differing methods to measure amplitude and identify rising lows.
• The author suggests adding valuation, technical, and risk measures to refine the screen.
• No backtest or performance evidence is provided.

Tags

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