Screening Stocks for Amplitude, Recent Limit-Ups, and Bid-Side Volume

Summary

This proposed stock screen selects shares with daily amplitude above one percent, at least one limit-up event during a recent 25-day period, and current best-bid volume greater than best-ask volume. The document presents these conditions as indicators of higher volatility, prior strong price movement, and comparatively stronger displayed buying interest. It includes formula and Python examples for combining the filters, and an example of ranking candidates by a net-volume measure.

The post offers no backtest, execution rules, or evidence that the three signals predict returns. Its discussion identifies policy shifts and changing market sentiment as risks, and suggests adding financial data and macroeconomic context. Order-book volume is a snapshot that can change quickly, while limit-up rules and thresholds may vary across stocks and market conditions, so the screening logic alone does not establish a robust strategy.

Key ideas

• The screen combines daily amplitude, a recent limit-up event, and best-bid volume exceeding best-ask volume.
• The author interprets these filters as signs of volatility, prior price strength, and buying interest.
• Code examples implement the conditions and show a possible net-volume ranking, without reported performance evidence.
• Policy changes and shifts in market sentiment are identified as sources of risk.
• Displayed order-book volume may change quickly and is not, by itself, proof of future price gains.

Tags

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