Stock Screening by Buying Activity, Daily Drawdown, and Ten-Day Return

Summary

This screening rule selects stocks when the reported buying-activity ratio exceeds 5%, the day’s maximum decline lies between 4% and 5%, and the ten-day return is positive but below 35%. The post treats the three filters as short-term buying cues: activity may indicate inflows, a sharp intraday fall may precede a rebound, and a capped positive return may identify stocks that have risen without an extreme gain. The accompanying pseudocode describes applying all conditions together.

The post cautions that the screen does not account for longer-term trends and that unusually high buying activity may reflect excessive optimism. It suggests adding a long-term trend filter and valuation measures. The supplied data functions are placeholders, and no backtest, measurement definitions, or performance evidence is given. The rationale for interpreting a sharp daily decline as a rebound signal is asserted rather than demonstrated, so the rule needs precise data definitions and empirical validation before its behavior can be assessed.

Key ideas

• The screen combines a buying-activity ratio above 5%, a maximum daily decline between 4% and 5%, and a positive ten-day return below 35%.
• The post interprets buying activity and recent returns as possible short-term selection signals.
• It identifies missing long-term trend and fundamental context as risks.
• The sample functions for obtaining the screening inputs are unimplemented placeholders.
• No backtest or performance evidence is supplied.

Tags

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