A Volatile-Day Stock Screen for Positive Returns After a Sharp Intraday Drop

Summary

This screen seeks stocks with daily amplitude above 1, a stated maximum decline between 4% and 5%, and a positive return for the day. It treats amplitude and the decline as measures of price movement, while the positive daily return is intended to identify a stock recovering despite a sharp drop. The document offers example indicator and Python logic, but provides no historical test, performance results, or supporting data.

The approach depends on a single day of price behavior and may chase short-term strength or hot names without regard to longer-term value. There is also an apparent inconsistency in the supplied conditions: a positive daily return cannot at the same time be between negative 4% and negative 5% if both refer to the same return measure. The article suggests accounting for broad market direction, fundamentals, position sizing, and exit controls, but does not specify or evaluate those additions.

Key ideas

• The stated screen combines amplitude above 1, a maximum decline between 4% and 5%, and positive daily return.
• It interprets positive return after a large decline as possible short-term resilience.
• The document provides no backtest or performance evidence.
• Its criteria appear internally inconsistent if the decline and positive return use the same daily return measure.
• Suggested refinements include market context, fundamentals, position sizing, and exit rules.

Tags

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