Stock Screening with Amplitude, Control, Auction Flows, and Fundamentals

Summary

This stock selection proposal combines daily price amplitude, a measure of controlling-shareholder activity, and net buying by major participants during the opening auction. Its expanded version also requires the share price to be above its 30-day moving average and financial and industry conditions to be favorable. The post gives indicative implementations in indicator formulas and Python, then suggests adding valuation, profitability, and other technical measures when refining the screen.

The author identifies market conditions and short-term changes in the input measures as sources of risk. The document does not provide a backtest, performance statistics, or a precise definition of “good” financial and industry conditions. Some implementation details depend on platform-specific data fields and functions, so the examples should be treated as sketches rather than a fully specified, validated strategy.

Key ideas

• The initial screen combines price amplitude, shareholder control changes, and opening-auction net buying.
• The expanded screen adds a 30-day moving-average filter and favorable financial and industry conditions.
• The post suggests fundamental and technical measures as possible refinements.
• Market shifts and unstable short-term signals can weaken the screen.
• No backtest results or complete definitions for all inputs are supplied.

Tags

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