Screening for Volatile Stocks with Recent Price Surges and Smaller Floats

Summary

This article outlines an equity screen using three characteristics: a daily price range above a threshold, at least one large daily gain during the recent 25-session window, and a limited number of freely tradable shares. Its final proposed version sets the float ceiling at 6 billion shares, while the initial description and example formula use a lower ceiling. The article also provides formula and Python examples, but no backtest results or return evidence.

The screen is intended to identify volatile stocks that have shown a sharp recent advance and have a relatively small float. The article notes that a tight float limit may leave too few candidates for a diversified portfolio, while emphasis on short-term surges can encourage speculative behavior and overlook longer-term fundamentals. It suggests loosening the float constraint, combining factors, adding financial statement measures, and holding positions longer. The threshold definitions and sample code are not fully consistent, so the screen would require clarification and careful validation before use.

Key ideas

• The proposed screen combines daily volatility, a sharp gain within a recent trading window, and a float-size ceiling.
• The final stated float ceiling differs from the lower threshold in the initial description and example formula.
• The article provides implementation examples but no test results.
• A restrictive float rule may reduce the number of candidates and portfolio diversification.
• The author recommends adding fundamental measures and considering longer holding periods.

Tags

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