Screening Stocks by Amplitude and Historical Price Change

Summary

This post proposes screening equities for daily amplitude above 1%, observations dated in 2021, and a price-change condition below 6%. It describes high amplitude as a sign of larger price swings and treats a modest historical gain as a possible entry filter. The post supplies indicator-formula and Python examples, though their expressions do not consistently match the prose: the stated 9:25 a.m. move is replaced by a comparison with a price 175 sessions earlier, and the date condition restricts records to 2021.

The author acknowledges that these few conditions are inadequate on their own, that market moves can make the time-specific filter unreliable, and that no return is assured. Suggested refinements include adding technical and quantitative measures and broadening the time condition. No backtest, selection count, or outcome data is provided, so the screen is a starting hypothesis rather than a demonstrated strategy.

Key ideas

• The proposed screen combines amplitude above 1%, a 2021 date restriction, and a price-change threshold below 6%.
• The post frames amplitude as a volatility measure and the price condition as a possible entry filter.
• The code examples use a 175-session comparison, which differs from the stated 9:25 a.m. condition.
• The post supplies no performance evidence and recommends adding other measures to reduce reliance on a few filters.

Tags

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