Screening Small-Float Stocks by Price Amplitude and Auction Turnover
Summary
The article proposes an equity screen requiring price amplitude above 1 and a circulating share count no greater than 5.5 billion, then ranking candidates by the day’s auction amount and selecting the top five. It presents amplitude as a way to find active stocks, the float limit as a small-stock filter, and auction turnover as a measure of current trading interest. Indicator-formula and Python examples illustrate calculations and filtering.
No backtest or return evidence is provided. The article warns that the rules omit company fundamentals, capture short-term activity rather than long-term value, and may select temporary market favorites. It recommends adding technical and fundamental checks and using risk controls. The examples also introduce details that are not fully reconciled with the headline: the amplitude calculation uses prior-period prices, and the code adds a separate ranking and selection step. The screen should be read as a rough candidate filter, not a tested trading strategy.
Key ideas
- The proposed screen combines an amplitude threshold, a circulating-float limit, and a ranking by auction amount.
- The article interprets higher amplitude as activity and auction turnover as a sign of current market attention.
- Its examples include a prior-period amplitude calculation and additional ranking steps beyond the headline conditions.
- The document reports no performance testing and notes that the screen omits fundamental and longer-term information.
- It recommends adding broader analysis and risk controls before trading selected stocks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.