Stock Screening by Ten-Day Return, Trading Range, and Investor Attention

Summary

This post describes a stock screen that selects shares with a ten-day return above zero and below 35%, a daily trading range above 1%, and ranks candidates by individual-stock attention. Its accompanying examples add a code-prefix filter for shares beginning with 60 and show a ranking step based on the attention measure. The author frames the trading range as a sign of activity and the return band as a way to find stocks with recent gains while limiting the range of eligible performance.

The post offers no backtest or measured results to establish whether attention ranking or these thresholds improve returns. It cautions that trading range changes with market conditions and that a ten-day return alone cannot reliably predict future prices. The example formulas and code appear inconsistent in places, including how the return condition is calculated, so the intended definitions should be checked against the source data and platform before implementation. Suggested additions include fundamental and industry analysis, monitoring market changes, and applying position and risk controls.

Key ideas

• The screen combines a ten-day return between zero and 35% with daily amplitude above 1%.
• Candidates are ranked by a stock-attention measure.
• The example also filters for stock codes beginning with 60.
• The author warns that amplitude varies with market conditions and recent returns alone are insufficient.
• The document provides no backtest, and its example return calculations should be verified.

Tags

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