Screening Stocks by Volatility, Five-Day Trend, and Auction Turnover

Summary

This stock screen selects shares with an amplitude above one, a price average above the five-day moving average, and high current-day auction turnover, retaining the top five by turnover. The article interprets the amplitude filter as a way to find volatile stocks, the moving-average condition as evidence of an upward short-term trend, and auction turnover as a sign of market attention. It presents the rules as a short-term selection approach rather than a complete investment strategy.

The post suggests adding company fundamentals and macroeconomic conditions, as well as stop-loss and profit-taking rules. It supplies example indicator and Python snippets, but no backtest results or evidence that the criteria predict returns. The examples may need adjustment for data availability and implementation details, and the screen omits fundamental value and broader risk controls unless added separately.

Key ideas

• The screen requires amplitude above one and price above its five-day moving average.
• It ranks qualifying stocks by current-day auction turnover and keeps the top five.
• The article treats volatility, short-term trend, and market attention as the rationale for the filters.
• It recommends adding fundamental and macroeconomic checks alongside exit and risk controls.
• No performance results are provided to validate the selection rules.

Tags

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