Screening for Stocks Near the Ten-Day Average After a Sharp Decline

Summary

This proposed equity screen looks for stocks with amplitude above 1, a daily decline between 4% and 5%, and an opening price near the ten-day moving average. The stated rationale is to combine a bounded daily loss and market movement with a short-term trend reference, in search of stocks that might recover. The document also suggests adding fundamental information and setting stop-loss, profit-taking, and position-management rules.

It includes formula and Python examples, but no backtest or performance evidence. The examples are not fully consistent with the written criteria: one compares a close with the moving average despite the stated opening-price condition, and the Python example's moving-average reference does not clearly calculate a ten-day average. The suggested recovery potential is asserted rather than demonstrated. Price action may also reflect company news, policy changes, or other factors absent from the screen. Treat the conditions as a hypothesis to test, and verify the data definitions and implementation before relying on results.

Key ideas

• The screen combines amplitude above 1, a daily decline between 4% and 5%, and an opening price near the ten-day moving average.
• The proposed rationale is to identify stocks that have fallen within a defined range while trading near a short-term trend reference.
• The document recommends considering company fundamentals and defining exit and position-management rules.
• No strategy results are provided, and the formula and Python examples do not consistently implement the stated opening-price and moving-average conditions.

Tags

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