Equity Screening with Daily Amplitude, Two-Day Highs, and Company Type

Summary

This equity screen combines daily price amplitude above 1%, a high equal to the highest high over two days, and a company-type condition chosen to fit an investment theme. The note frames the amplitude and recent high as ways to find active, strong stocks, while the company classification adds a thematic filter. It suggests adding fundamental measures such as valuation ratios and return on equity, then adjusting factor weights for an investor's circumstances and market conditions.

The document cautions that omitting other fundamentals can increase decision errors and that a theme can lose market interest. It provides illustrative indicator logic, but the company-type rule and additional fundamental screen are left undefined; no universe, ranking method, entry or exit rules, backtest, or performance evidence is supplied. The result is a configurable screening concept rather than a validated investment strategy.

Key ideas

• The screen requires amplitude above 1%, a high equal to the two-day maximum, and a selected company-type condition.
• The technical filters are intended to identify active stocks near short-term highs.
• The note recommends adding valuation and profitability measures for broader fundamental coverage.
• Theme selection and factor weights need definition, and thematic interest may fade.
• No backtest evidence or complete trading rules are provided.

Tags

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