Stock Screening with Amplitude, Listing Age, and Best-Quote Volume

Summary

This stock-selection approach screens for shares with amplitude above 1, a listing history longer than three years, and displayed first-level buy volume greater than sell volume. The stated rationale is that larger price movement may coincide with more active trading, a longer listing history excludes newer stocks, and the quoted-volume comparison may offer a rough view of buying versus selling interest. A Python example applies these conditions to listed stocks and also includes exchange-specific exclusions and recent-high checks.

The document acknowledges that the screen ignores macroeconomic, policy, and other company factors, that its thresholds may leave too few candidates, and that first-level quote volume is an incomplete measure of market pressure. It reports no backtest, holdings, or returns, so the claimed investment relevance is not established. The description also treats quote imbalance as evidence of investor interest without discussing quote persistence, order-book dynamics, or execution costs.

Key ideas

• The screen combines amplitude above 1, more than three years since listing, and buy-side displayed volume above sell-side volume.
• The example adds stock-universe exclusions and recent-high conditions.
• The author identifies missing macro and company factors and warns that the screen can return too few stocks.
• No performance evidence is reported, and best-quote volume alone does not establish sustained buying pressure.

Tags

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