Small-Cap Stock Screen with Rising Volatility and a Lower Daily Low

Summary

This proposed equity screen selects companies with price amplitude above one percent, market capitalization within 10 billion, positive average net profit, and a current low below the previous session’s low. The article’s example code extends those conditions with comparisons involving price-to-earnings, price-to-book, cash flow, predicted earnings growth, and return on equity. It describes the result as a short-term speculative screen and acknowledges that the conditions may overlook business fundamentals, future prospects, and industry risks.

The author recommends combining technical, fundamental, and market-sentiment measures and evaluating company and industry prospects. The document provides formula and Python examples but no backtest, transaction-cost analysis, or performance results. Its extra code filters are illustrative, and the article does not explain how to validate the signals or resolve potential data and timing issues. The screen should therefore be read as a proposed set of selection rules, not evidence of an effective trading strategy.

Key ideas

• The initial screen combines a daily amplitude threshold, a market-cap limit, positive average net profit, and a lower current low.
• The example code adds valuation, cash-flow, earnings-growth, and return-on-equity filters.
• The article warns that a technically focused screen can overlook company fundamentals and industry risks.
• No backtest or trading-performance evidence is reported.

Tags

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