Screening Stocks with Amplitude, Recent Turnover, and RSI

Summary

The document describes a stock selection rule combining amplitude above 1%, appearance on the previous day's market activity list, and RSI below 65. Its final version further specifies that listed buy value should exceed sell value, then suggests ranking qualifying stocks by turnover rate and retaining a subset. Formula and Python sketches illustrate how to calculate amplitude and RSI, intersect the resulting screens, and apply the ranking step.

The rationale is that larger amplitude signals movement, the activity list may indicate unusual buying or selling, and the RSI threshold limits the selected set by a momentum indicator. These interpretations are not supported by a reported backtest or performance data. The author cautions that activity-list flows may be misread and that technical filters alone can produce weak selections. Fundamental analysis and more selective activity-list conditions are proposed as additions, but the document does not specify or test them. The examples depend on data-provider fields and conventions, so implementation details should be checked against the chosen data source.

Key ideas

• The proposed screen combines amplitude above 1%, prior-day activity-list appearance, and RSI below 65.
• The final rule requires listed buying value to exceed selling value.
• The example ranks candidates by turnover rate after intersecting the filters.
• The author warns that activity-list flows can be misinterpreted and technical filters can overlook fundamentals.
• No backtest or profitability evidence is reported.

Tags

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