Equity Screening with Volatility, a Ten-Day Average, and Prior-Day Support

Summary

This document describes a short-term equity screen based on three conditions: amplitude above 1, an opening price near the ten-day moving average, and a closing price above the prior day's low. It presents the setup as a way to identify volatile stocks near their recent average that may be finding support. Example formulas also show a five-percent band around the moving average and rank qualifying candidates by trading volume.

The article cautions that the screen omits fundamental factors, may misfire in sideways markets, and can be affected by unusual short-term price moves. It recommends considering broader market conditions and adding trading rules and risk controls. No backtest or performance evidence is reported. The sample code has timing and definition ambiguities, including shifted price references and inconsistent amplitude calculations, so its implementation should be checked against the intended conditions before use. The described filters alone do not define trade entries, exits, or position sizing.

Key ideas

• The screen combines amplitude above 1, an open near the ten-day moving average, and a close above the prior day's low.
• The example defines proximity to the moving average with a five-percent band and sorts candidates by volume.
• The article warns that technical filters may perform poorly in sideways or unusually volatile conditions.
• It reports no performance evidence, and the example calculations need checking against the stated signal definitions.

Tags

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