Stock Screening with Amplitude, Institutional Participation, and Turnover

Summary

This post describes a daily stock screen that combines three conditions: price amplitude above a threshold, a change in institutional participation between today and the prior day, and turnover within a specified band. It frames amplitude as a measure of short-term movement, institutional participation as a proxy for capital flows, and turnover as an indicator of liquidity and market activity. The post provides formula examples and a Python-style implementation reference, but reports no backtest or realized performance evidence.

The author notes that the screen relies on a narrow set of inputs and omits factors such as macroeconomic and industry conditions. Turnover can shift quickly and may not represent longer-term investment value. Suggested extensions include adding relative strength or MACD and using a broader stock universe, alongside risk management. The post does not establish that the selected stocks outperform, and the implementation examples may require adaptation to actual data availability and definitions.

Key ideas

• The screen selects stocks using amplitude, change in institutional participation, and a bounded turnover range.
• It is intended to run after the daily market open.
• The post supplies indicator formulas and an illustrative data-processing approach but no performance tests.
• The author identifies limited factor coverage and short-lived turnover changes as potential weaknesses.
• Possible extensions include relative strength, MACD, a broader stock universe, and risk controls.

Tags

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