Screening Stocks by Amplitude and Market Heat

Summary

This note outlines an equity selection approach that filters for price amplitude above 1%, ranks stocks by market heat, and restricts the sample to trading dates in 2021. It explains amplitude as a sign of trading activity and treats high ranking by attention as a possible indication of market interest. The example also sketches adding valuation, profitability, moving-average, and turnover filters before selecting a limited number of stocks.

The article cautions that amplitude changes with market conditions and should not be used alone. It recommends considering company fundamentals, industry conditions, economic factors, and risk controls. Its claims about stability and investment potential are not supported by a reported test, return series, or comparison, and the code is presented as an example needing adaptation to available data. The date restriction makes the approach a historical screen rather than a live strategy as written.

Key ideas

• The screen filters stocks for amplitude above 1% and ranks them by market heat.
• The stated sample is limited to trading dates in 2021.
• The example adds valuation and profitability filters as possible supplementary criteria.
• The article offers no performance test and warns against relying on amplitude alone.

Tags

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