Stock Screening with Amplitude, Turnover, and RSI

Summary

This document describes a technical stock screen requiring daily price amplitude of at least 1%, turnover above 2% and below 9%, and RSI below 65. Amplitude and turnover are presented as measures of trading activity, while the RSI threshold is intended to avoid stocks considered overbought. The article also gives a formula reference and a Python example for applying the conditions to listed stocks.

The screen is simple to implement, but the article provides no backtest or performance evidence. It warns that the method omits company fundamentals and may perform poorly when market conditions turn sharply against it. Suggested improvements include adding fundamental and technical measures, adapting the screen to market trends, and applying risk controls and position sizing. The RSI interpretation and the exact turnover calculation in the example may require careful verification before practical use.

Key ideas

• The screen selects stocks with amplitude of at least 1%, turnover between 2% and 9%, and RSI below 65.
• Amplitude and turnover are used to identify active stocks, while RSI is used as an overbought filter.
• The document provides formula and Python examples but reports no empirical performance results.
• It cautions that the screen omits fundamentals and needs risk controls and further validation.

Tags

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