Screening Stocks by Range, Relative Volume, Positive Earnings, and Size

Summary

This stock screen combines price activity, trading volume, valuation, and company size. It seeks stocks with a daily high-low range above one percent, relative volume between 1.5 and 6 times its five-day average, positive price-to-earnings ratio, and market capitalization below 10 billion yuan. The explanation associates a larger range with opportunity and risk, elevated but bounded relative volume with active trading, and positive earnings with profitable companies. It provides formula and Python examples for screening.

The note offers no backtest or performance results, so these rationales do not show that the conditions produce favorable returns. It flags higher volatility and the limitations of relying on PE alone, including exposure to policy and market conditions. It suggests adding measures such as market value or PEG and adjusting thresholds across industries and market regimes. The stated final screen adds a market-cap ceiling to the initial rule, and the code's range calculation and comparison signs may not match the written threshold exactly, so implementation details need review.

Key ideas

• The screen combines daily range, relative volume, positive PE, and a small-cap ceiling.
• Relative volume is bounded to target activity without extreme volume, according to the document's rationale.
• Positive PE is used as a basic profitability filter, though it does not capture all company or market risks.
• No historical performance evidence is provided for the screening rules.
• The code and description contain details that may not align exactly and should be checked.

Tags

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