Equity Screening with Price Amplitude and Auction Volume Ratios
Summary
This stock-selection approach combines price amplitude with a ratio using the previous day's turnover rate and the current opening-auction volume relative to the prior day's volume. It selects stocks where the combined measure falls within a stated band, then applies a company-characteristic filter, such as industry or another chosen attribute. The accompanying example also sorts candidates by a money-flow field, though the article describes the overall method as subjective and offers no backtest or performance results.
The screen is intended to capture price movement and liquidity while allowing investors to tailor the company filter. The author warns that subjective classifications and incomplete data can distort selection, and that high amplitude or turnover can signal elevated risk. Suggested refinements include using more objective company measures, adding technical and sentiment inputs, and adjusting position weights to investor risk preferences. The sample code has apparent inconsistencies between its stated formula and data fields, so the implementation would need checking before use.
Key ideas
- The screen combines price amplitude with prior turnover multiplied by an opening-auction-to-prior-volume ratio.
- Candidates are further filtered by company characteristics, which may be chosen according to investor preferences.
- The example code also ranks selected stocks using a money-flow field, but the strategy has no reported performance test.
- Subjective company filters and incomplete data can create selection errors.
- Higher amplitude and turnover may increase risk, so the note recommends risk controls and more objective filters.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.