Screening Stocks by Daily Range, Drawdown, and Control Indicator
Summary
This stock screen combines three conditions: daily amplitude above 1, a maximum daily decline between 4% and 5%, and a control indicator above its 21-day average. The document frames these as filters for volatility, short-term price weakness, and buying pressure. It also provides example indicator and Python implementations intended to identify qualifying stocks, though the examples use different proxy calculations for the control condition and may not match the stated rule exactly.
The author cautions that the screen focuses on short-term price and order-flow measures while omitting company fundamentals and longer-term prospects. The document offers no backtest, performance data, or evidence that the conditions predict returns. It suggests adding fundamental and other indicators to reduce reliance on a single signal. The screen describes a candidate-selection method only; it does not specify entry timing, exits, position sizing, or risk controls for subsequent trades.
Key ideas
- The screen requires amplitude above 1 and a daily maximum decline between 4% and 5%.\nIt also requires the control indicator to exceed its 21-day average.\nThe examples provide implementation references, but their proxy calculations may differ from the stated condition.\nThe document warns that short-term signals omit fundamentals and may be limited in particular market conditions.\nNo backtest or 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.