Selecting Stocks by Price Amplitude, Institutional Participation, and Attention

Summary

The document presents a daily, after-close stock-selection rule combining three signals: price amplitude above a threshold, institutional participation above a threshold, and a high ranking by stock attention. It frames amplitude as a measure of price movement, institutional participation as a clue about large investors’ activity, and attention as a way to prioritize more prominent stocks. Example formulas and code are included to illustrate the filters and ranking.

The article warns that attention can shift sharply with short-term market moves and that the rule overlooks company fundamentals, industry position, and management quality. It suggests combining the signals with broader ratings and risk controls such as stop losses and diversification. No backtest results or evidence of returns are supplied, and the code is explicitly presented as illustrative, so the screen’s effectiveness and operational details remain unverified.

Key ideas

• The proposed screen combines price amplitude, institutional participation, and a stock-attention ranking.
• It selects stocks after the market close and ranks eligible names by attention.
• Short-term shifts in attention can make the selection unstable.
• The approach omits important company and industry fundamentals and provides no backtest evidence.
• The article suggests adding broader indicators and risk controls such as diversification.

Tags

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