Screening Stocks by Amplitude, Control, Turnover, and Fundamentals

Summary

This stock-screening note starts from three conditions: price amplitude above a stated level, a measure labeled today’s control above a threshold, and turnover above a threshold on the prior day. It then proposes a broader version that classifies amplitude into higher and lower bands, adds average trading activity over roughly a month, and considers valuation and profitability measures including price-to-earnings, price-to-book, price-to-sales, and gross margin. Example indicator and Python logic illustrate one possible scoring and selection approach.

The note cautions that the original screen is simplified, that amplitude thresholds involve judgment, and that yesterday’s turnover may not predict future activity. It recommends adding fundamental measures and refining the amplitude classification. However, the narrative, formulas, and code do not align perfectly in their definitions and thresholds, including how control and activity are measured. No backtest, selected-stock results, or risk-adjusted performance is supplied. The proposed screen should therefore be treated as an outline requiring consistent data definitions and empirical testing, not as a validated strategy.

Key ideas

• The initial screen uses price amplitude, a measure described as control, and prior-day turnover.
• The proposed refinement adds average recent trading activity and fundamental valuation or profitability measures.
• The note identifies subjectivity in amplitude thresholds and limits in using past turnover to infer future activity.
• The example formulas and code use definitions that do not fully match the written description.
• No performance test or empirical evidence is provided.

Tags

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