Stock Screening with Range, Ten-Day Return, and Price-Range Position

Summary

The document outlines an equity screen requiring daily price amplitude above one percent, a positive ten-day return below 35 percent, and a high position within the prior 120-day price range. Its example formula also requires the current close to exceed the previous close. The range-position condition is intended to select stocks trading near the upper end of that lookback range, while the return band seeks recent gains without the strongest run-ups.

The page characterizes larger daily ranges as offering both greater risk and opportunity, and says the historical filters do not guarantee future results. It flags data quality and possible misclassification by the arc-shaped price condition, and suggests combining the screen with other indicators and diversifying holdings. Code references and platform instructions are supplied, but no backtest results, universe definition, rebalance schedule, or trading costs are reported. The criteria therefore describe a candidate-selection heuristic rather than evidence of a profitable strategy.

Key ideas

• The screen combines daily amplitude above one percent with a positive ten-day return below 35 percent.
• It also selects stocks whose close is above 80 percent of the range between the rolling 120-day low and high.
• The example formula adds a requirement that the close exceed the prior close.
• The document warns that historical data quality and the range-shape condition may produce unreliable selections.
• No performance test or transaction-cost analysis is provided.

Tags

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