Stock Screen Combining Positive Earnings, Daily Range, and 2021 Price Gains

Summary

This note proposes screening stocks for a daily high-low range greater than 1% of the previous close, a positive price-to-earnings ratio, and a price increase over the preceding 252 trading sessions. It describes the criteria as a way to combine price activity, a basic profitability filter, and prior price appreciation. Formula examples and a Python sketch illustrate the intended conditions, although the sketch uses one stock identifier rather than showing a complete universe-wide process.

No backtest, portfolio construction rules, or performance results are provided. The 252-session return condition is a rolling lookback in the code, while the prose frames it as a gain during 2021, so the time interpretation is not fully consistent. The note warns that past gains may not persist and that a positive P/E does not rule out overvaluation. It recommends adding other technical and fundamental measures, trading volume analysis, and simulation or backtesting, but gives no evidence that these changes improve outcomes.

Key ideas

• The proposed screen combines a daily price range above 1%, positive P/E, and price appreciation over a 252-session lookback.
• The note presents price range, profitability, and recent gains as separate selection dimensions.
• Its code example does not demonstrate selection across a full stock universe.
• The document gives no performance evidence and cautions that historical gains may not continue.

Tags

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