Ranking Volatile Stocks by Auction Value After a Recent Limit-Up
Summary
The proposed stock screen looks for amplitude above one, ranks stocks by today’s opening-auction value, and keeps the top five among those that had a limit-up event within the past month. The article interprets auction value and amplitude as signs of activity, while the recent limit-up condition acts as a momentum and market-attention filter. Its suggested expanded version adds valuation limits on price-to-earnings and price-to-book ratios and a check that the price is near its 60-day low.
These additions are presented as possible refinements, not as a tested strategy. The document provides no backtest or evidence that auction activity or a recent limit-up predicts future returns. It warns that the screen may chase stocks after a sharp rise and may overlook fundamentals and industry context. The included formula and sample code are illustrative, and do not demonstrate that the conditions are implemented or measured consistently. The selection rules therefore need careful data validation and risk assessment before practical use.
Key ideas
- The initial screen combines amplitude above one, top-five opening-auction value, and a limit-up event within the past month.
- Suggested refinements include valuation caps and a price-near-60-day-low condition.
- The document provides no backtest or return evidence for either version.
- It warns that recent limit-up activity can encourage excessive chasing and that fundamental context is missing.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.