Screening Stocks by Daily Volatility, Loss, and Company Size
Summary
This stock-selection rule looks for shares with an intraday high-to-low amplitude above 1, a daily loss between 4% and 5%, and company size above 200 million. The article frames the conditions as a way to focus on sizable stocks experiencing a sharp decline and notable price movement. It provides example formula logic and a Python sketch that checks daily price data and a size field before adding a stock to the selection.
No historical test, performance figures, or evidence of an edge is supplied. The document also flags key limitations: the screen does not assess company finances, industry characteristics, or liquidity, and market liquidity can change. Its wording around amplitude and company size is not fully precise, and the code’s size measure may not match the prose. Suggested additions such as financial, sector, and liquidity filters are ideas for further work, not validated improvements.
Key ideas
- The screen combines a daily loss between 4% and 5% with an intraday amplitude threshold.
- It imposes a minimum company-size condition on the stock universe.
- The examples show both formula-style filtering and a Python selection sketch.
- The article provides no performance evidence and does not evaluate liquidity or fundamentals.
- Financial, industry, and liquidity factors are suggested as possible additions, not tested results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.