Screening Equities by Prior-Day Amplitude, Top-List Presence, and Five-Day Trend

Summary

This stock-selection rule combines three conditions: prior-day price amplitude above 1%, appearance on the prior day’s trading activity list, and a closing price above its five-day moving average. The post presents the conditions as filters for finding volatile stocks with notable capital activity and a short-term upward trend. It also includes example formulas and Python-style selection logic for intersecting the qualifying stock sets and sorting the results.

The document offers a rationale for each filter but no performance results, backtest, transaction-cost analysis, or evidence that the combination predicts returns. It cautions that market reversals can undermine the signal, the activity list may not reflect actual fund flows, and moving averages lag price changes. Suggested extensions include adding volume or valuation measures, testing longer averages, and considering sector context and risk controls. The examples illustrate implementation rather than establish a validated strategy.

Key ideas

• The screen requires prior-day amplitude above 1%, prior-day trading activity list presence, and price above the five-day moving average.
• The activity-list condition is intended to capture stocks with notable buying or selling activity.
• The moving-average condition is used as a simple indicator of upward price direction.
• The post provides example logic but reports no backtest or realized performance.
• The author notes reversal risk, incomplete flow information, and lag in moving-average signals.

Tags

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