Combining Stock Amplitude, Positive Earnings, and Turnover Filters

Summary

This document describes a stock selection filter using amplitude above 1, a positive price-to-earnings ratio, and a turnover rate between 3% and 12%. It frames these as measures of price movement, profitability or valuation, and trading liquidity. The suggested refinement adds company fundamentals and industry valuation comparisons, and considers evaluating volatility and liquidity over multiple historical windows.

The document includes indicator and Python examples for estimating amplitude, filtering positive PE, and applying turnover bounds. It does not report a backtest or trading results, and some proposed elements, such as fundamental quality and industry valuation, are left as unfinished placeholders. The stated limitations include sensitivity to changing turnover, exclusion of lower-volatility stocks, and insufficient attention to company and industry fundamentals. The rules are therefore a screening concept, not demonstrated evidence of an investable strategy.

Key ideas

• The initial screen requires amplitude above 1, positive PE, and turnover between 3% and 12%.
• The filters combine price volatility, an earnings valuation condition, and market liquidity.
• The proposed refinements add fundamental quality, industry valuation, and multi-period volatility and liquidity checks.
• The code examples do not implement the suggested fundamental and industry filters fully.
• The article gives no performance evidence and warns that turnover can vary unpredictably.

Tags

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