Screening for Volatility, Recent Price Jumps, and a Rising 30-Day Average

Summary

This stock-screening note combines price range, a recent large daily gain, and short-term trend. Its stated logic looks for stocks with amplitude above one, at least one daily gain of 10% or more during the prior 25 trading days, and a rising 30-day moving average. The rationale is that these conditions identify volatile stocks showing a strong move and near-term upward direction. The article proposes adding fundamentals, industry analysis, and other indicators such as MACD or KDJ, as well as considering longer moving averages.

The note warns that the screen omits fundamental and policy factors, that a sharp gain may reflect a one-off catalyst or speculation, and that a 30-day average may miss the longer trend. It supplies formula and Python references, but these do not fully implement the stated screen: the sample gain condition is applied to the current daily return rather than explicitly checking the full 25-day window, while the formula’s volatility condition compares the high-low range with ATR. The proposed fundamental and additional-indicator filters remain placeholders, and no backtest evidence is given.

Key ideas

• The stated screen combines amplitude above one, a 10% or greater daily gain within 25 sessions, and a rising 30-day average.
• The rationale links range to volatility, the price jump to strength, and the moving average to short-term trend.
• The note warns that sharp gains can reflect one-off news or speculation and that the average may miss longer trends.
• It proposes adding fundamental data, industry analysis, other indicators, and longer moving averages.
• The sample code does not clearly implement the stated 25-session gain test, and no performance evidence is provided.

Tags

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