Screening Stocks by Daily Range and Ten-Day Price Gain

Summary

This stock screen combines three conditions: daily amplitude above 1%, observations dated in 2021, and a ten-day price gain greater than zero but below 35%. The document interprets the amplitude condition as selecting more volatile stocks and the gain band as retaining stocks with positive but bounded recent momentum. It presents the conditions as a candidate-selection rule, not a full trading strategy.

The text notes that high volatility can increase risk, that short-term gains may reflect sentiment or flows, and that trading costs or portfolio capacity may matter. It suggests adding fundamental or technical filters and applying risk controls, but gives no backtest, return statistics, portfolio construction, or trade exit method. The screen is explicitly tied to a past calendar year, so its stated selection period is historical rather than a current signal specification.

Key ideas

• The screen requires daily amplitude above 1%, a 2021 observation, and a positive ten-day gain below 35%.
• The document frames the range condition as a way to identify relatively volatile stocks.
• The gain band captures positive short-term movement while excluding larger ten-day advances.
• The source flags volatility, market sentiment, holding capacity, and fees as practical concerns.
• No evidence of strategy returns or complete trade rules is supplied.

Tags

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