Stock Screening by Price Range, Trading Value, and Positive Return

Summary

This stock screening idea selects shares whose daily high-to-low range exceeds 1%, whose trading value is above 60 million on the prior day, and whose return is positive. It combines a volatility filter, a liquidity threshold, and recent price performance. The post provides example implementations for screening, but it reports no historical test, portfolio construction rules, or measured returns.

The author cautions that the screen does not account for the stock’s relationship to the broader market, company fundamentals, industry cycles, or longer-term growth. A positive recent return may encourage chasing a move without establishing that it will continue. Suggested additions include valuation and profitability measures such as price-to-earnings, price-to-book, and return on equity.

The criteria are underspecified for robust research: the description calls one threshold “yesterday’s turnover,” while the sample code appears to apply volume to current data, and the precise return and amplitude conventions are not fully established. Any implementation would need consistent definitions and out-of-sample evaluation.

Key ideas

• The screen combines a daily range above 1%, prior-day trading value above 60 million, and positive return.
• The rules use volatility, liquidity, and recent performance as selection filters.
• The post supplies illustrative code but no backtest results or evidence of profitability.
• Market context, valuation, profitability, and industry conditions are absent from the basic screen.
• Data timing and indicator definitions should be reconciled before testing the rules.

Tags

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