Stock Screening with Price Range, Ten-Day Return, and Trading-Volume Ratio

Summary

This post proposes a stock screen using three conditions: daily high-to-low range above one percent of the opening price, a positive ten-day return below 35 percent, and an outside-volume to inside-volume ratio above 1.3. It suggests the range may identify more active stocks, the return filter may avoid both falling and sharply run-up shares, and the volume ratio may indicate stronger buying pressure. A sample Python routine applies these filters and sorts the remaining stocks by a separate large-order flow measure.

The author cautions that the screen omits fundamental, technical, and policy factors and may miss steadier stocks or broader sector trends. Suggested additions include valuation measures and indicators such as KD or MACD. The post provides no backtest methodology, returns, risk statistics, or evidence that the proposed signals predict performance. The volume-ratio interpretation and the screen’s thresholds remain hypotheses requiring independent testing.

Key ideas

• The proposed screen combines a one-day range threshold with a bounded positive ten-day return.
• It also filters for an outside-to-inside volume ratio above 1.3.
• The sample routine ranks qualifying stocks by a separate large-order flow field.
• The author notes that the screen omits fundamental, technical, and policy context.
• No performance evidence is provided, so the thresholds and signal interpretation need testing.

Tags

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