Screening Stocks by Daily Amplitude and Turnover in 2021
Summary
This stock screen combines daily price amplitude above 1% with turnover above 2% and no more than 9%, limited to trading dates in 2021. It is presented as a way to find shares with meaningful price movement and moderate trading activity. The document gives a formula reference and sample Python logic for applying the filters to historical daily data.
The write-up offers no backtest, selected-stock examples, or performance evidence. Its sample code estimates turnover from recent volume observations rather than clearly using the stated turnover-rate measure, and its date check appears tied to the latest row returned. The screen also omits company fundamentals and may reflect unusual conditions in the chosen year. The author suggests combining it with other technical or fundamental signals and adjusting thresholds for market, industry, and company circumstances.
Key ideas
- The screen requires daily amplitude above 1% and turnover above 2% through 9%.\nIt restricts candidates to trading dates in 2021.\nThe document provides example formulas and historical-data filtering logic but no performance results.\nIt cautions that the screen omits fundamentals and may not transfer to other market conditions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.