Screening Stocks by Amplitude, Control Indicator, and Auction Amount
Summary
This post describes a stock-selection rule that requires amplitude above 1 and a daily control indicator above 21, then ranks qualifying stocks by the day’s auction amount and selects the top five. The accompanying explanation presents amplitude as a measure of price movement, the control measure as an indication of capital or share control, and auction amount as a gauge of demand around the opening. It also recommends checking additional technical, fundamental, and market data and adjusting exposure to fit risk preferences.
The article flags that liquidity and trading conditions can change, affecting the indicators, and that auction-amount ranking may favor already popular stocks. It includes formula and Python examples, but they do not clearly implement the same ranking procedure as the stated rule. No backtest results or performance figures are supplied, and the meaning and calculation of the control indicator are not established in detail. The screen is therefore a selection concept, not evidence of a validated strategy.
Key ideas
- The stated screen filters for amplitude above 1 and a daily control indicator above 21.
- It ranks qualifying stocks by auction amount and selects five.
- The post warns that changing liquidity can distort signals and that ranking may favor popular stocks.
- The formula and Python examples do not clearly match the stated ranking rule, and no performance evidence is provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.