Equity Screening with Range Expansion, Two-Day Highs, and Market Size

Summary

This stock selection rule combines a daily range threshold, a high equal to the highest level across two days, and a minimum company size. The document describes the range as the difference between the high and low relative to the previous close, and presents the screen as a way to find larger, actively followed stocks exhibiting recent price strength. It also sketches how the conditions could be combined with additional fundamental, industry, and popularity measures.

The write-up cautions that the initial screen uses few inputs and omits profitability, free cash flow, debt capacity, and sector differences. It suggests adding those dimensions and potentially capital-flow measures, but does not specify how to calculate or weight them. No backtest, sample definition, transaction cost analysis, or evidence of returns is provided, so the screen should be treated as a rule proposal rather than a validated strategy. The provided implementation examples are platform-dependent and require adaptation.

Key ideas

• The screen selects stocks whose daily range exceeds a threshold and whose high matches the two-day high.
• It also applies a minimum market capitalization condition.
• The document recommends adding fundamental, industry, and investor attention measures.
• No empirical performance evidence or complete specification for the added filters is given.

Tags

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