Screening Stocks with Range, Moving Average, and Bollinger Band Conditions

Summary

This stock-selection screen combines three conditions: daily amplitude above 1%, an opening price near the 10-day moving average, and a close above the Bollinger middle band but below the upper band. The implementation example defines “near” as within five percent of the moving average and calculates Bollinger Bands using a 20-period average and two standard deviations. The stated rationale is to find volatile stocks whose closes remain in the upper half of the band without reaching its upper boundary.

The document supplies indicator-formula and Python examples, but no historical test, selected-stock examples, or return data. It cautions that Bollinger signals can lag, parameter choices can distort signals, and highly volatile stocks carry greater risk. It suggests adding volume or market-structure measures, tuning parameters to conditions, and imposing further constraints. The rationale includes characterization of trend and upside potential, but the screen itself does not demonstrate either; its effectiveness and suitability require validation.

Key ideas

• The screen requires amplitude above 1% and an opening price within five percent of the 10-day moving average.
• It selects closes between the Bollinger middle and upper bands.
• The example Bollinger calculation uses 20 periods and two standard deviations.
• The document warns of indicator lag, parameter sensitivity, and losses from volatile stocks.
• No backtest or performance evidence is provided.

Tags

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