Stock Screening with Amplitude, RSI, and Prior-Day Turnover

Summary

This proposed equity screen selects stocks with amplitude above 1, an RSI below 65, and prior-day turnover above 60 million. It combines a price-range measure with a momentum oscillator and a liquidity threshold, aiming to find stocks with activity while avoiding RSI readings above the chosen cutoff. The document provides formula references for the three conditions but does not specify the RSI lookback period.

No historical test results or evidence of profitability are presented. The article cautions that technical filters can overlook market direction and sector rotation, and that parameter choices and the sample universe can contribute to overfitting. It recommends considering additional technical or fundamental measures and adding risk controls such as stop levels and exposure limits. These are suggestions for refining and testing the screen rather than demonstrated improvements.

Key ideas

• The screen requires amplitude above 1, RSI below 65, and prior-day turnover above 60 million.
• It combines price movement, an oscillator threshold, and a liquidity condition.
• The RSI lookback period and sample universe are not specified.
• The article gives no performance evidence and warns about overfitting and market context.
• It suggests broader analysis and risk controls for further development.

Tags

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