Stock Screen Combining Amplitude, Control Change, and Prior Auction Limit-Down

Summary

This proposed stock screen selects shares with amplitude above 1, a daily change in the controlling-shareholder measure greater than 21 in absolute value, and a prior-day 9:15 matching price associated with a limit-down condition. The post includes example formulas for a charting platform and Python-style pseudocode. It describes the conditions as combining volatility, control-related data, and market sentiment, and the Python example ranks qualifying stocks by recent price change before returning a limited list.

The post provides no backtest results, evidence that the inputs improve selection accuracy, or explanation of how the platform-specific measures are defined. Its broad risk discussion mentions policy and market uncertainty and cautions that the screen may not suit every market. It recommends validating data, considering other measures, adjusting conditions as market regimes change, and diversifying. The selection logic is therefore a starting hypothesis, not a demonstrated strategy; the meaning and availability of the auction and control data may also depend on the market and data provider.

Key ideas

• The screen combines amplitude, an absolute control-related daily change, and a prior 9:15 auction-price condition.
• The examples show how to express the filters in platform formulas and Python-style logic.
• The Python example ranks qualifying stocks by recent price change.
• The post presents no performance tests or validation of the signals.
• It advises checking data, adapting conditions, and diversifying risk.

Tags

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