Selecting Stocks by Amplitude, Turnover, and Relative Volume

Summary

This stock selection screen uses three market-activity filters: amplitude of at least 1%, turnover above 2% and no more than 9%, and relative volume above 1.5 but below 6. The intended effect is to identify stocks with meaningful price movement and elevated, but bounded, trading activity. The document includes an indicator formula and a Python example using turnover and volume relative to a five-day average; its sample code also adds conditions that are not part of the stated screen.

The author warns that relying mainly on trading activity can select stocks with unstable volume and that the chosen observation date may skew results. Suggested improvements include adding technical and fundamental criteria and reviewing the timing and algorithm. The document reports no backtest or return evidence, and its code has inconsistencies, including additional market-cap and price-direction filters. The thresholds therefore serve as a proposed screening recipe rather than a validated strategy.

Key ideas

• The stated screen requires amplitude of at least 1%, turnover between 2% and 9%, and relative volume between 1.5 and 6.
• Relative volume is represented by current volume compared with its five-day average.
• The sample Python code adds filters beyond the stated selection logic.
• The document reports no performance evidence and cautions that trading-activity signals and selection timing can be unreliable.

Tags

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