Screening Stocks by Amplitude, Year, and External-to-Internal Volume
Summary
The document describes a stock screen using daily price amplitude above 1%, data from 2021, and an external-to-internal trading volume ratio above 1.3. It interprets larger amplitude as greater volatility and the volume ratio as a possible indication of market activity, then uses the conditions to form a candidate investment pool. The post also recommends checking valuation measures such as price-to-earnings and price-to-book ratios and comparing data across providers.
No backtest, returns, or examples of selected stocks are supplied. The explanation of the volume ratio is internally inconsistent: it says a value above 1.3 reflects external flow exceeding internal flow, while characterizing that as outflow and heightened interest. The code snippets also differ in their definitions of amplitude and trading conditions. Treat this as a rough screening idea whose data definitions and implementation require verification.
Key ideas
- The proposed screen requires daily amplitude above 1%, observations from 2021, and an external-to-internal volume ratio above 1.3.
- The post treats amplitude as a volatility filter and the volume ratio as a market activity signal.
- It recommends adding valuation measures and comparing data vendors to reduce omissions and measurement errors.
- The article gives no performance evidence, and its interpretation and code definitions are inconsistent.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.