A Stock Screen Combining Amplitude, Institutional Flow, and Ten-Day Return

Summary

This document describes a daily stock screen that combines three filters: amplitude above 1, a change in an institutional volume-related measure, and a ten-day return above zero but below 35. It presents the screen as a way to find volatile stocks with positive recent performance and a signal interpreted as institutional buying. It also gives indicator expressions and an illustrative Python-style implementation, though parts of that example rely on undefined variables or functions and should not be treated as ready-to-run code.

The post supplies no backtest, performance results, or evidence that the institutional-flow proxy predicts returns. It cautions that the simple criteria can become ineffective as market or company conditions change, and that positive ten-day returns alone omit other relevant information. Suggested refinements include adding filters, market-strength measures, or non-structured data. The description does not specify universe construction, transaction costs, execution rules, or validation procedures.

Key ideas

• The screen selects stocks using amplitude, a change in an institutional volume-related measure, and a positive ten-day return below 35.
• The proposed selection is made after the daily market open.
• The post provides indicator expressions and an illustrative implementation, but the code is incomplete as presented.
• No empirical performance evidence is provided for the screening rules.
• The author notes that simple filters may fail as market or company conditions change.

Tags

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