Stock Screen Using Amplitude, Past Limit-Ups, and Yesterday's Move

Summary

This document proposes a daily stock screen that selects shares with amplitude above 1, at least two limit-up events in the past 500 days, and no limit-up move on the previous day. It provides indicator formulas and a Python example using historical stock data. The article interprets amplitude as a measure of risk, past limit-ups as a sign of market expectations, and a non-limit-up day as room for a further rise. It suggests adding technical indicators and fundamental measures such as earnings per share and price-to-earnings data.

The post gives no backtest, portfolio results, or evidence that the proposed interpretation predicts future returns. It acknowledges that excluding yesterday's limit-up stocks can miss shares that continue to surge, including consecutive limit-up cases. The code and formulas should also be checked against the intended timing and definition of limit-up events before use. The screen is presented as an adjustable selection idea, not a validated strategy.

Key ideas

• The screen requires amplitude above 1 and at least two limit-up events within 500 days.
• It excludes stocks that hit a limit-up on the previous day.
• The article proposes adding technical and fundamental filters to refine the selection.
• It warns that the prior-day exclusion can miss stocks that continue rising through consecutive limit-ups.
• No backtest or performance evidence is provided.

Tags

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