Stock Screening with Price Amplitude, Moving-Average Crossovers, and Control Ratio
Summary
This stock screen requires daily price amplitude above a threshold, simultaneous crossovers among three technical measures, and a daily control ratio above 21 percent. The document describes the control ratio as a way to infer institutional activity, then combines it with the crossovers and price movement to identify candidate stocks. It includes example formulas and a Python illustration, but offers no backtest, trade history, or other evidence that these conditions produce returns.
The note cautions that a high control ratio does not guarantee continued gains and that a purely technical screen can overlook company fundamentals. It recommends comparing multiple data sources and indicators, including standardized factor comparisons, and considering valuation and market risk. The formulas and code appear to use differing crossover descriptions and data fields, so the intended indicators and calculations require clarification before implementation. The stated rules are best treated as a screening hypothesis that needs careful definition and out-of-sample testing.
Key ideas
- The screen combines price amplitude, simultaneous crossovers among three technical measures, and a control ratio above 21 percent.
- The control ratio is presented as a proxy for institutional activity, not as proof of future price gains.
- The article gives example formulas and code but no performance evidence.
- Technical-only screening can miss fundamental and valuation risks.
- Indicator definitions and calculations should be reconciled before implementation and testing.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.