Stock Screening with Daily Range, Ten-Day Return, and Recent Price Change

Summary

This note proposes a stock selection rule based on daily price range, the prior ten-day return, and the latest price change. It seeks stocks with a range above 1%, positive but below 35% ten-day appreciation, and a latest change between -5% and 2.6%. The accompanying example also filters by circulating market capitalization and sorts on a large-order flow measure, adding steps beyond the stated core rule.

The author frames the range as a measure of market movement and the return limits as a way to seek stocks with some gains without extreme recent appreciation. The note cautions that sudden events and broad market conditions can affect the signals, and that percentage changes need context from the overall market and company fundamentals. It suggests adding other technical or fundamental variables, but gives no backtest or evidence that the thresholds predict returns. The code’s treatment of the latest change also appears inconsistent with the stated percentage bounds.

Key ideas

• The screen combines daily range, ten-day return, and latest price change thresholds.
• It targets positive ten-day performance below 35%, with a latest change between -5% and 2.6%.
• The example adds market capitalization filters and ranks by a large-order flow measure.
• The author recommends contextualizing returns with market conditions and company fundamentals.
• No backtest or empirical evidence supports the proposed thresholds.

Tags

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