Screening Stocks by Price Amplitude, Prior-Day Limits, and Volume Concentration

Summary

This stock-selection screen combines three filters: price amplitude above 1, exclusion of stocks that hit the upper price limit on the previous day, and a concentration measure below 70%. The post describes the concentration indicator as total volume relative to its 20-period average and provides a sample selection routine based on turnover-rate data. It presents the screen as a way to identify candidates for further analysis, rather than a complete trading system.

The post supplies no backtest, performance evidence, or precise definition of the amplitude threshold. It warns that screening for low concentration could lead to excessive diversification and recommends adding financial, industry, and market factors. The sample code and formula are references only, and their measures do not align cleanly: the stated concentration formula uses volume, while the Python example uses turnover rate. The post therefore leaves implementation details and validation to the user.

Key ideas

• The screen requires price amplitude above 1 and excludes stocks that reached the upper limit on the prior day.
• It also selects for a concentration measure below 70 percent.
• The post defines concentration using volume relative to its 20-period average, but its sample code instead uses turnover rate.
• It recommends combining the screen with company, industry, and market analysis.
• The post provides no performance results, so the rules require independent testing.

Tags

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