Selecting Stocks by Volatility and Recent Limit-Up Activity

Summary

This stock screen combines three conditions: daily amplitude above a stated threshold, no limit-up close on the previous day, and at least one limit-up event during the past month. The article frames larger amplitude as a way to find more active stocks, excludes the prior day’s limit-up stocks as a stability filter, and treats recent limit-up activity as evidence of short-term upward momentum. It also provides reference expressions for applying the conditions and a Python example using market data.

The article offers a screening recipe and rationale, but no backtest, return data, or risk-adjusted evidence. It warns that the screen omits company fundamentals, financial analysis, industry context, and broader market conditions. It suggests combining technical signals with those factors, but does not specify or test a complete combined model. The example’s implementation details should be checked before use, since the written conditions and code may not perfectly match.

Key ideas

• The screen looks for stocks with relatively large daily trading ranges.
• It excludes stocks that closed at the upper price limit on the prior day.
• Recent limit-up activity serves as a short-term momentum filter.
• The article gives reference expressions and a data-based coding example.
• The method has no reported performance evidence and omits fundamental and industry analysis.

Tags

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