Screening Stocks by Volatility, the 10-Day Average, and Turnover

Summary

This document describes a short-term stock screen combining prior-session amplitude above 1%, an opening price within roughly 5% of the 10-day moving average, and prior actual turnover between 3% and 28%. It presents these conditions as a way to find shares with noticeable price movement and trading activity, then ranks qualifying names by volume.

The article provides indicator formulas and Python-style examples, but no backtest, performance results, or evidence that the screen predicts returns. It characterizes the approach as speculative and notes that it ignores company fundamentals, may select stocks affected by unusual price moves, and aims at short-term gains. The examples also contain implementation ambiguities, including differences in how the turnover lag and moving-average conditions are expressed, so users would need to verify definitions and timing before evaluating the screen.

Key ideas

• The screen combines recent amplitude, proximity of the open to a 10-day moving average, and turnover.
• It seeks active, volatile stocks for short-term speculation.
• The described selection can be ranked by trading volume.
• The document provides example formulas but no performance evidence.
• Fundamental analysis and explicit risk controls are absent from the basic rules.

Tags

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