Screening Stocks by Daily Range, Historical Payout Ratio, and Control Measure

Summary

This stock-selection note combines three filters: an average daily range above 1, a 2019 dividend payout ratio above 25%, and a same-day control measure above 21%. It presents the control measure as an indication of concentrated trading influence or continued buying, pairs the range threshold with volatility, and uses the historical payout ratio as a dividend-related criterion. The document gives a formula for average true range and a separate expression for its control measure, along with illustrative Python screening code.

The proposal is not supported by performance tests, and the code's stock data and control-measure logic are not fully explained. Its stated caveats include incomplete coverage of market conditions and inability to predict future trends. The note suggests adding technical and valuation factors or combining signals in a weighted multi-factor screen. The 2019 payout figure is historical, and the document does not explain how to update it or validate the thresholds, so the screen should be treated as an untested example rather than a demonstrated strategy.

Key ideas

• The screen combines an average range threshold, a historical dividend payout ratio, and a same-day control measure.
• The document interprets the control measure as a proxy for concentrated activity or buying interest.
• It provides formulas and sample code but no backtest or evidence of predictive performance.
• Potential extensions include technical and valuation factors combined into a weighted screen.

Tags

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