Stock Screening with Amplitude, Control Changes, and Moving Averages

Summary

This stock selection method combines a daily price amplitude threshold and a measure of changes in controlling shareholders with trend filters. The initial screen asks for amplitude above 1, a control measure above 21, and the previous close above its 250-day moving average. The proposed final version adds a condition that the current price be above its 30-day moving average, combining a long-term trend check with a shorter-term one.

The note describes amplitude and moving averages as price-based measures and the control statistic as a proxy for capital activity. It suggests adding other indicators or adapting filters to market and industry conditions, but provides no backtest or evidence that the screen produces stable returns. It also cautions that market and capital-flow changes can disturb the signals. The control measure’s definition and units are not clarified, and the examples do not specify portfolio construction, execution assumptions, or risk limits.

Key ideas

• The screen combines daily amplitude and a control-related measure with moving-average filters.
• The previous close must be above the 250-day average, while the current price must exceed the 30-day average.
• The note proposes adding indicators and adjusting criteria for market or industry conditions.
• No performance validation or portfolio and risk rules are provided.

Tags

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