Stock Screen for High Amplitude, Institutional Participation, and No Prior-Day Limit

Summary

This post proposes a stock screen to run after the close. It combines a daily amplitude threshold above 1, institutional participation above 30, and a rule that excludes stocks that hit a price limit the previous day. The author frames the filters as a way to find volatile stocks with institutional interest while avoiding names associated with an overheated prior session, and describes the approach as intended for short- to medium-term investing.

The post cautions that high volatility can reflect speculation without fundamental support and that excluding recent limit-up stocks may miss short-lived gains. It suggests adding industry or market-capitalization information and adjusting the thresholds to suit risk preferences. Formula references and a Python sketch are included, but the sketch relies on platform-specific indicators and does not demonstrate a working data pipeline. No backtest, return figures, or evidence of predictive performance is provided.

Key ideas

• The proposed after-close screen requires amplitude above 1 and institutional participation above 30.
• It excludes stocks that reached a price limit on the prior day.
• The author associates the filters with volatility, institutional interest, and market sentiment.
• High volatility may reflect speculative activity, while the prior-day limit exclusion may miss short-term gains.
• The post supplies no backtest results and presents its code as a reference requiring adaptation.

Tags

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