Stock Screening by Amplitude, Auction Value, and Institutional Flow
Summary
This stock-selection note screens for equities with amplitude above 1, ranks them by current opening auction value, and retains the top five when institutional flow is positive. It presents amplitude and auction activity as measures that may identify active or popular stocks, while positive institutional flow is treated as a sign of concentrated buying interest. The note supplies example indicator expressions and Python-style logic, including a historical-data illustration.
The proposed screen combines price activity and capital-flow measures, but the article acknowledges that it gives limited attention to company fundamentals. It also warns that institutional-flow readings can change quickly and may lead to misleading conclusions over short periods. Suggested refinements include adding profitability and industry-position analysis and focusing on institutions with stronger longer-term records. The document provides no backtest results or performance statistics, and its example code’s data sources and timing assumptions are not validated in the text.
Key ideas
- The screen requires amplitude above 1, positive institutional flow, and a top-five opening-auction-value rank.
- The article treats auction value as a rough indicator of market attention and institutional flow as a measure of buying concentration.
- Institutional-flow data can vary quickly and may produce short-term false signals.
- Fundamental analysis and longer-term assessment of institutional records are suggested additions.
- No measured performance results are reported.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.