Selecting Stocks by Amplitude, Price, and Auction-Value Ranking

Summary

The proposed stock screen filters for amplitude above 1 and a closing price below 20, then ranks candidates by today's auction amount and selects the top five. The article also gives example indicator and Python logic, including a comparison of current and prior volume as a proxy for auction activity. Its explanation frames amplitude and price as filters and auction value as a way to prioritize more actively traded names.

The document cautions that this approach omits fundamentals and that a single day's auction activity can reflect short-term effects rather than underlying value. It suggests adding financial and other indicators, though its revised rules no longer specify a precise ranking formula. The examples also use inconsistent or unclear definitions: the written rule refers to auction amount, while code uses volume-based averages, and the amplitude thresholds appear on different scales. No backtest or outcome data is provided, so the screen's claimed risk control and return potential are not demonstrated.

Key ideas

• The initial screen filters for amplitude above 1 and closing price below 20, then ranks by auction amount.
• The stated selection takes the five highest-ranked candidates.
• The examples use recent volume averages as a proxy, leaving the auction-value definition unclear.
• The article warns that fundamentals are omitted and daily activity may be short-lived.
• No performance evidence is supplied, and the example threshold scales are inconsistent.

Tags

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