Equity Screen Using Price Amplitude, Ten-Day Returns, and Consecutive Declines

Summary

The document describes a stock screen combining three price conditions: amplitude above a threshold, a positive but capped ten-day return, and a run of consecutive declines. The stated rationale is to find volatile stocks that have recently risen without becoming excessively extended, then use a sharp short-term pullback as a possible entry signal. The supplied Python example filters a dataframe on these measures and sorts qualifying names by a large-order flow field.

The page provides no backtest, trade rules for exits, or evidence that the screen is profitable. It also cautions that price-only conditions omit fundamental, technical, and policy information, and that a short losing streak does not establish value or a reversal. The example’s rolling condition checks whether the latest close is below the preceding window’s minimum; it does not directly verify seven consecutive down sessions. The screen is therefore a candidate selection heuristic, not a complete trading strategy.

Key ideas

• The screen combines price amplitude, a bounded positive ten-day return, and a recent decline condition.
• The stated premise is to look for a pullback in stocks that have already advanced.
• The example sorts qualifying stocks using a large-order flow measure.
• The document offers no performance tests or exit rules.
• Its code’s rolling comparison does not directly establish seven consecutive down sessions.

Tags

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