Screening Stocks by Ten-Day Return, Trading Range, and Concentration

Summary

This stock-selection post describes a screen using three short-term conditions: a positive ten-day return below 35%, daily amplitude above 1%, and a stated concentration measure below 20%. It frames these filters as a way to identify stocks with recent gains and price activity. The post includes example formula and Python snippets, but their definitions and logic do not consistently align with the prose, particularly around the concentration and amplitude calculations.

The document provides no backtest results or evidence that the conditions produce excess returns. Its own risk discussion says the screen leans on short-term price trends, may encourage chasing gains or selling declines, and can behave unstably in volatile markets. It suggests supplementing the screen with fundamental and technical analysis and risk controls, but does not specify or test those additions. Treat the formulas as examples requiring careful verification rather than a validated trading strategy.

Key ideas

• The proposed screen combines a positive but capped ten-day return with a minimum price amplitude and a concentration condition.
• The document supplies formula and Python examples, but their implementation does not consistently match the written criteria.
• No performance test or return evidence is presented.
• The post identifies short-term trend dependence, chasing risk, and instability during volatile markets as concerns.
• It recommends adding fundamental analysis and risk controls without defining or testing those changes.

Tags

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