Screening for Volatile Stocks After a Limit-Down Open with Rising Averages

Summary

The document proposes a stock screen combining three conditions: relatively large price amplitude, upward divergence in the day’s moving averages, and a limit-down price at the prior session’s 9:15 matching stage. The stated rationale is to find volatile stocks with an upward trend that have also experienced a sharp downward move, then investigate why the limit-down event occurred for a possible opportunity. It also suggests adding valuation and company-quality factors, market-capitalization constraints, and industry or macroeconomic context.

The post includes formula and Python examples, but the implementation details do not consistently match the stated screen. The code applies book-value and amplitude filters, its moving-average comparison is not clearly aligned with the described upward divergence, and the tick-data check appears to compare a price with the previous close without establishing the specified prior-day 9:15 condition. No backtest results or evidence of returns are provided. The author warns that a mechanical screen may omit relevant fundamentals and that the cause of a limit-down move is uncertain.

Key ideas

• The proposed screen combines price amplitude, rising moving averages, and a prior limit-down matching price.
• The rationale is to investigate sharp declines in volatile stocks that otherwise show upward price behavior.
• The post recommends supplementing technical conditions with valuation, company, market, and macroeconomic information.
• The example code does not clearly implement every stated condition, and the post gives no performance evidence.

Tags

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