Bollinger Band and Amplitude Filters for a 2021 Stock Screen

Summary

This post describes a historical stock screen combining daily price amplitude with Bollinger Bands. It selects observations from 2021 where the high-to-low move exceeds one percent and the close lies between the middle and upper bands of a 20-period Bollinger calculation using two standard deviations. The stated rationale is to find volatile stocks whose prices remain above the band midpoint while below the upper band, a condition the author interprets as potential for further gains.

The post provides indicator formulas and example implementations for screening, but supplies no backtest, benchmark, performance statistics, or evidence that the setup predicts returns. It also warns that Bollinger Bands are based on past prices, may fail in unusual markets, and reflect short-term conditions rather than long-term prospects. Suggested refinements include adding sector and fundamental filters, combining other quantitative signals, and setting stop-loss levels. The screen is therefore a simple candidate-generation rule, not a demonstrated trading system; its historical date filter also limits direct use as a current signal.

Key ideas

• The screen requires daily amplitude above one percent and a closing price between the Bollinger middle and upper bands.
• The Bollinger calculation uses a 20-period window and two standard deviations.
• The stated selection period is 2021, making the rule historical rather than a current signal.
• The post gives formulas and example implementations but reports no measured performance.
• It recommends combining the filter with fundamental or sector analysis and explicit risk controls.

Tags

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