Filtering Stocks by Price Amplitude, Float Size, and Ownership Concentration

Summary

The proposed screen combines three stock characteristics: price amplitude above one, a circulating share count no greater than 5.5 billion, and a 20-day concentration measure below 70%. The article presents the amplitude condition as a way to find more active shares, the float limit as a small-cap filter, and the concentration condition as an attempt to avoid stocks with highly concentrated holdings. Its example then ranks qualifying stocks by turnover and keeps approximately the top tenth of the universe.

The article gives formula and Python illustrations but no backtest or performance results. It warns that the criteria omit financial health and other company fundamentals, and that broad market conditions or sudden company events can dominate the signals. It recommends adding fundamental checks and revisiting thresholds as conditions change. The rationale for concentration is not rigorously established, and the examples leave implementation details and data definitions unclear, so the selection rules should be treated as a screening sketch rather than a validated strategy.

Key ideas

• The screen requires price amplitude above one and a circulating share count at or below 5.5 billion shares.
• It also requires a 20-day concentration measure below 70%.
• The example ranks qualifying stocks by turnover and retains roughly the top tenth.
• The article warns that the screen does not assess company fundamentals or protect against sudden events.
• It provides no empirical performance evidence and leaves some measure definitions unspecified.

Tags

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