Combining Price Volatility, Dividend Ratio, and Consecutive Limit-Ups in a Stock Screen

Summary

This example proposes screening stocks using a price amplitude threshold, a dividend-and-bonus ratio above 25% based on the previous close, and a recent sequence of limit-up closes. It provides a formula sketch and a Python-style outline for calculating these conditions. The author suggests supplementing the short-term signals with company size, valuation ratios, profitability measures, and industry comparisons.

The article cautions that a screen focused on volatility, dividends from a specified year, and consecutive limit-ups may overemphasize recent market excitement while neglecting durable fundamentals. It recommends adding valuation and profitability measures to make the selection more systematic. No performance results or supporting tests are included, and the formula descriptions and code outline leave some ambiguity about how the amplitude window and consecutive limit-up condition should be interpreted.

Key ideas

• The initial screen combines price amplitude, a dividend ratio, and consecutive limit-up closes.
• The article suggests adding company size, PE, PB, and ROE measures.
• Its main stated risk is excessive reliance on short-term market behavior at the expense of fundamentals.
• The proposal has no reported backtest results, and some screening definitions remain ambiguous.

Tags

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