Screening Stocks for Large Intraday Declines and a Close Above the Prior Low

Summary

This stock screen combines three daily price conditions: a stated amplitude above one, an intraday maximum decline between four and five percent, and a close above the prior day’s low. The proposed interpretation is that a sharp decline followed by a close recovering beyond the previous session’s low may indicate a rebound. The article also includes a sample stock-selection routine and additional filters involving excluded names, market value, and negative valuation ratios.

The post offers no backtest, return series, benchmark, or evidence that the screen predicts profitable rebounds. It acknowledges market risk and the possibility that the close condition captures a false recovery, and suggests checking trend indicators or fundamentals as possible refinements. The sample implementation is illustrative rather than a complete validation of the stated rules: the displayed checks do not clearly enforce every stated threshold, and the amplitude calculation is not explicitly normalized in the shown code. Results may therefore depend on data conventions, implementation details, and market conditions.

Key ideas

• The proposed screen requires a specified amplitude, a maximum decline between four and five percent, and a close above the previous day’s low.
• The prior-low condition is intended to identify a possible rebound after a sharp decline.
• The post warns that this condition can mistake a temporary bounce for a genuine recovery.
• The sample code and stated thresholds are not fully aligned, and the document provides no performance evidence.

Tags

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