Screening Stocks for High Amplitude and Recent 10% Gains

Summary

This note presents an equity screen combining daily price range, a 2021 date filter, and a recent large gain. It describes selecting stocks whose high-to-low range exceeds 1% of the previous close and that had a daily gain of at least 10% within the prior 25 trading days. The author interprets high amplitude as elevated volatility and a large daily gain as evidence of upside potential, then provides formula and Python examples.

The note revises the final screen to use a single-day gain between 5% and 10%, rather than the 10%-or-higher threshold in its initial description. It suggests this range to reduce the risk of chasing sharp moves, and recommends additional technical indicators and risk controls such as stops or diversification. It supplies no backtest, performance data, or validation, and the examples contain inconsistencies in how the gain window is evaluated. The screen is therefore a proposed heuristic, not evidence of a reliable strategy.

Key ideas

• The initial screen requires amplitude above 1% and a gain of at least 10% during the prior 25 trading days.
• The final stated rule changes the gain criterion to a range from 5% to 10%.
• The note associates high amplitude with greater volatility and warns that strong gains can encourage chasing.
• It suggests combining the screen with other indicators and applying stop levels or diversification.
• No empirical performance evidence is provided, and the sample implementations do not clearly match the stated lookback rule.

Tags

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