Screening Stocks for Large Daily Ranges and Sharp Declines

Summary

The document describes a stock screen that selects shares with an amplitude above one and a daily maximum decline between four and five percent, restricted to observations from 2021. It presents the screen as a way to identify volatile stocks after a marked drop for possible follow-up analysis. It also supplies example indicator logic and Python-style pseudocode for applying the conditions to daily stock data.

No selected stocks, historical returns, benchmark comparison, or backtest results are reported, so the screen is a selection rule rather than evidence of an investable edge. The article itself notes that restricting observations to one year limits the view of longer-term behavior and that repeated limit moves may add noise. It suggests adding fundamental and technical measures and considering industry, market conditions, and policy factors. The examples are described as references requiring adjustment; data definitions and implementation details should be checked before use, especially because the prose and code may express percentage thresholds differently.

Key ideas

• The screen combines a daily amplitude threshold with a decline bounded between four and five percent.
• Only observations from 2021 are included.
• The article proposes the screen as a starting point for further investment analysis.
• It provides example indicator logic and pseudocode, but no performance evidence.
• The narrow date window and noisy price moves can limit the screen’s reliability.

Tags

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