Selecting Stocks by Price Amplitude, Limit-Down Auction Price, and Moving Averages

Summary

This note presents a stock screen combining three conditions: price amplitude above 1%, a prior session 9:15 matched auction price at the limit-down level, and the 20-day moving average above the 120-day average. It suggests selecting the top n qualifying stocks, with an example that orders them by heat. The rules bring together a volatility measure, an opening-auction price event, and a longer-term trend filter.

The document describes the signal as potentially identifying volatile stocks in an upward trend, but supplies no backtest or other performance evidence. It cautions that sector and single-stock exposure remain, and that technical signals may not agree with other relevant information. The example Python code references indicator functions without defining their data handling, so it is illustrative rather than self-contained. The author recommends adding fundamental and capital-flow information and diversifying across industries to make the selection process more complete.

Key ideas

• The screen combines amplitude above 1%, a prior 9:15 matched price at limit-down, and a 20-day average above the 120-day average.
• The suggested selection can be ranked by stock heat.
• No test results are provided to establish predictive value.
• Industry exposure, single-stock risk, and disagreement between technical and other signals are noted limitations.
• The example code relies on undefined indicator functions and requires adaptation.

Tags

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