Screening Stocks by Amplitude, Listing Age, and Prior Returns

Summary

This stock screen selects equities whose daily price range exceeds a threshold, that have been listed for more than a year, and whose previous session return is positive. The post presents these filters as a way to find active, more established stocks that recently showed positive price action. Its accompanying example code also begins from a large-cap subset, although that universe filter is not included in the stated final selection rule.

The document gives no backtest, return series, or evidence that the screen is profitable. It warns that the approach ignores fundamentals and may overemphasize very recent performance, exposing it to short-term trading and speculative behavior. It suggests adding fundamental measures and technical indicators, and considering a broader history of market and company data. The screening rules are therefore best read as a simple candidate-generation heuristic, with the threshold interpretation and the mismatch between the prose and code needing attention before implementation.

Key ideas

• The screen combines daily price amplitude, listing age, and positive prior-session return.
• The author associates larger amplitude with market activity and longer listing history with greater stability.
• The post cautions that the filters omit fundamentals and may chase short-term price moves.
• No performance test is provided, and the sample code includes a universe restriction absent from the stated rule.

Tags

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