Equity Screening by Price Range, Daily Amplitude, and Market Concentration

Summary

This post proposes a simple equity screen using daily price amplitude above 1%, a closing price below 20, and a market concentration measure below 70%. It gives example implementations in a charting formula and Python, with the Python version calculating amplitude from the high, low, and previous close, then sorting selected stocks by trading volume. The post describes the criteria as a mix of short-term technical conditions and a market concentration measure.

The post offers no backtest, performance figures, or evidence that the filters predict returns. It warns that the screen omits company fundamentals and says concentration should not be treated as a complete risk measure. It suggests adding fundamentals and other market indicators, but does not define how to combine them or show results from an improved version. The meaning and scale of the concentration field are not explained, and the displayed formula and Python example do not use identical amplitude calculations. The screen therefore serves as an illustrative rule set, not a validated strategy.

Key ideas

• The proposed screen requires daily amplitude above 1%, a closing price below 20, and concentration below 70%.
• The Python example ranks qualifying stocks by trading volume.
• The post notes that the screen excludes fundamentals and other sources of risk.
• No backtest or performance evidence is provided, and the concentration measure is not defined in detail.

Tags

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