Screening Stocks for High Amplitude and Positive 30-Session Returns

Summary

This note proposes screening stocks for daily amplitude above 1%, data from 2021, and a positive return measured against the closing price 30 sessions earlier. Amplitude is calculated from the daily high and low relative to price, while the return condition compares the current close with its earlier close. The post supplies formula and Python examples for applying these filters.

The document characterizes the amplitude threshold as a way to select more volatile stocks and the return condition as evidence of a recent gain. It does not report backtest results or explain the universe, holding period, transaction costs, or whether the filters were evaluated out of sample. Its explanations also acknowledge that the criteria are sparse and omit fundamentals and capital flows, which can make selections unreliable. There is a date ambiguity: the screen names 2021, yet the example compares a current close with a close 30 sessions earlier, without clarifying how those periods relate.

Key ideas

• The screen selects for daily high-low amplitude above 1% and a positive return relative to the close 30 sessions earlier.
• The stated data period is 2021, though the examples do not clarify the relationship between that year and the return comparison.
• The post treats amplitude as a proxy for elevated volatility.
• The simple conditions omit fundamental, capital-flow, and risk-management criteria.
• No performance evidence or implementation details about costs and holding periods are provided.

Tags

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