A Stock Screen Using Range, the Ten-Day Average, and Prior-Day Limits

Summary

The document proposes a short-term stock screen based on three conditions: a recent price range above a threshold, the opening price near the ten-day moving average, and no limit-up move in the specified prior session. The stated intent is to find volatile stocks that may be undergoing a modest pullback, while avoiding names that just surged to a price limit. It provides example formulas for calculating range, comparing the open with the moving average, and combining the filters, along with references for implementation in two environments.

The post warns that the screen ignores company fundamentals and may select low-quality, volatile stocks. It suggests adding fundamental filters and stronger risk controls, but does not define or test those additions. There is no backtest, return series, holding period, portfolio construction rule, or evidence that the conditions predict rebounds. The formulas also use shifted observations, so implementation should verify that the timing matches the intended prior-session checks and does not introduce look-ahead errors.

Key ideas

• The screen combines price range, proximity of the open to a ten-day moving average, and a prior-session limit-move filter.
• The setup is intended to identify volatile stocks in a modest pullback.
• The author cautions that the screen omits fundamental quality and carries high volatility risk.
• No backtest or performance evidence is provided, and the observation shifts require careful timing checks.

Tags

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