Screening Stocks by Amplitude, Turnover, and Prior-Day Limit Status
Summary
This stock-selection idea combines three filters: price amplitude above a stated threshold, actual turnover from the prior day within a specified range, and exclusion of stocks that closed at the daily upper price limit on the previous day. The document presents the rules as a way to screen for candidates and includes sample formula and Python references, along with instructions for placing a selection statement into a backtesting template.
No backtest results or comparative evidence are provided. The explanation itself cautions that market conditions, company-specific factors, and possible manipulation can affect outcomes, and recommends considering risk management and asset allocation. It also suggests adding factors such as capital flows or market capitalization. The supplied sample snippets appear to use differing data definitions and timing references, so implementation would require careful validation against the intended turnover and limit-status rules before use.
Key ideas
- The screen combines price amplitude, prior-day actual turnover, and prior-day limit status.
- It excludes stocks that reached the upper daily price limit on the previous day.
- The article provides example screening formulas but no performance evidence.
- It recommends adding other data and considering risk management and asset allocation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.