Stock Screening with Volatility, Limit-Ups, and Bollinger Bands
Summary
This post outlines a daily equity screen requiring amplitude above 1, at least two limit-up events during the previous 500 days, and a close between the 20-period Bollinger middle and upper bands. The author describes the band condition as selecting prices above the moving-average midpoint but below the upper band, alongside a history of strong price moves. The article gives formulas for amplitude, limit-up counts, and Bollinger bands, plus an illustrative Python approach.
No backtest, performance evidence, or rationale for the specific thresholds is supplied. The article acknowledges that the screen relies heavily on technical price history and may overlook company fundamentals or generate false signals. It recommends considering financial measures and industry context, but does not test those additions. The accompanying code should be treated as illustrative: its amplitude condition and historical limit-up calculation may not exactly implement the stated definitions across data conventions, and no timing, portfolio allocation, or exit rules are specified.
Key ideas
- The screen combines daily price amplitude with a minimum history of limit-up events.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.