Stock Screening by Recent Volatility, Limit-Up History, and Daily Return

Summary

This screening concept combines three conditions: intraday range greater than 1, at least one daily gain of 10% or more during the preceding 25 trading days, and a current gain between -5% and 2.6%. It aims to find shares that have shown a sharp prior move but are currently trading within a narrower daily return band. The accompanying indicator example uses an ATR-based range comparison, a prior-day return calculation, and placeholders for fundamental and risk filters.

The document gives no tested results, and its explanation is internally uneven: it characterizes the method as conservative and value-oriented despite relying chiefly on volatility and price movement. The proposed additions—valuation and profitability measures plus beta or VaR limits—are suggestions, not implemented parts of the example. It warns that the small set of price filters may omit relevant factors, miss higher-risk opportunities, and select shares whose potential does not materialize promptly. The screen should therefore be treated as an idea requiring specification and validation, not a demonstrated strategy.

Key ideas

• The screen combines an intraday range threshold, a recent large daily gain, and a bounded current return.
• The lookback for the prior large gain is 25 trading days.
• The example leaves fundamental and risk filters as placeholders.
• No backtest or evidence of performance is provided.
• The document recommends considering valuation, profitability, and risk controls, while noting that results remain uncertain.

Tags

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