Stock Screening with Price Amplitude, Turnover, and Relative Strength

Summary

This note outlines a stock screen combining daily price amplitude, prior-day actual turnover, current-day turnover, and relative strength. Its stated ranges require amplitude above 1, prior-day turnover from 3% to 28%, and current-day turnover from 2% to 9%. The final version adds a high RSI rank, using a 14-period RSI and a percentile threshold of 0.8 in the example. The article includes formula and Python sketches intended to illustrate the filters.

The rationale is to find actively traded stocks with meaningful price movement while using RSI to reflect recent market dynamics. The author warns that the rules ignore company fundamentals and that a small set of indicators may not capture changing market conditions; financial and valuation measures are suggested as additions. The document offers no empirical performance results. Its formula descriptions and sample calculations are illustrative, so the definitions and units for turnover and amplitude would need verification before practical use.

Key ideas

• The proposed screen combines price amplitude with prior-day and current-day turnover ranges.
• The final selection rule adds a high relative-strength rank based on a 14-period RSI example.
• The article frames turnover and amplitude as measures of activity and price movement.
• The author notes that fundamentals and broader market dynamics are not captured, and provides no performance evidence.

Tags

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