Screening Stocks for High Amplitude, Trading Activity, and a Sharp Drop

Summary

The post describes a stock screen requiring price amplitude above 1, current volume above 10,000 lots, an opening above the prior close, and a specified daily decline between 4% and 5%. Its rationale is to find active, liquid stocks that open positively despite a sharp recent fall, treating the decline as a possible pullback or bottoming opportunity. It includes illustrative Python screening logic, though the code’s data filters do not clearly implement every condition in the written rule.

The author warns that relying on trading activity and price behavior alone can select companies with substantial uncertainty and lead to losses. The post recommends adding technical and fundamental measures such as valuation and balance-sheet indicators, alongside risk controls. No historical testing or evidence of returns is reported, and the proposed rebound interpretation is not validated; readers would need to define the signal precisely and test it before relying on it.

Key ideas

• The screen combines high intraday amplitude, a volume threshold, a positive open, and a daily decline within a stated range.
• The strategy interprets an unusually sharp fall as a possible reversal opportunity.
• The post cautions that technical activity measures alone omit company fundamentals and can expose traders to losses.
• Its sample code may not exactly match all the written screening conditions, and no performance test is presented.

Tags

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