Stock Screening by Amplitude, Share Control, and Company Size

Summary

This document outlines an equity screening rule that combines daily price amplitude, a measure labeled today’s controlling shares, and company capitalization. The screen selects stocks when amplitude exceeds 1, the controlling-share measure exceeds 21, and capitalization is at least 200 million. It also provides example implementations and suggests ranking selected stocks by a heat index, though the examples use differing treatments of the controlling-share value.

The accompanying discussion argues that company size can filter out smaller firms, while noting that size varies in meaning across industries and can be affected by market and business conditions. It recommends combining the screen with quality and growth measures and reviewing it as conditions change. The document gives no backtest, performance results, data definitions, or evidence that the thresholds predict returns. The meaning and units of the screening fields are not fully clarified, so the rule requires validation and careful implementation before practical use.

Key ideas

• The screen combines price amplitude, a controlling-share measure, and company capitalization.
• It suggests using company size to filter stocks, while recognizing that size can mislead across industries.
• The document recommends adding quality and growth measures and periodically reviewing the screen.
• No backtest or evidence supporting the thresholds is presented.

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