Screening Stocks for High Amplitude, Institutional Activity, and Low KDJ
Summary
The document describes a daily stock screen applied after the market opens. It selects shares whose five-period amplitude measure exceeds 1, whose change in a proxy for institutional trading volume is nonzero, and whose KDJ K value is below 20. The rationale is to find volatile stocks that may be weak or oversold while showing a change in institutional activity, with the possibility of a rebound.
The article gives indicator formulas and illustrative Python snippets, but no backtest, performance results, or evidence that the conditions predict rebounds. It cautions that high amplitude and weak price action raise risk and that the screen's usefulness may vary by market regime. It suggests adding valuation, earnings, and volume measures, then ranking or weighting signals. The institutional activity proxy and sample code are not fully explained, so the screen would need careful data validation before use.
Key ideas
- The screen combines a five-period amplitude threshold, a nonzero change in an institutional-volume proxy, and a KDJ K reading below 20.
- It is intended to identify volatile, weak stocks that could rebound.
- The article provides formulas and illustrative code but no performance evidence.
- High volatility and weak price action create risk, and signal usefulness may change across market conditions.
- Additional financial and trading indicators could be used to refine the screen.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.