Weekly Stock Screening by Volatility, Institutional Participation, and Limit-Ups

Summary

This proposed weekly stock screen combines three conditions: a five-period amplitude measure above one, institutional participation above 30, and at least two limit-up events within the prior 500 days. The post describes the intended logic and provides indicator-formula references, along with a Python-style sketch that applies the conditions to weekly stock data after dropping missing observations.

The author frames the filters as a way to find volatile stocks with institutional interest and a record of strong price moves. The post cautions that the screen omits company fundamentals and recommends combining additional factors or adjusting thresholds to suit risk preferences. It supplies no backtest, performance statistics, or evidence that institutional participation predicts subsequent returns. The Python example also relies on platform-specific indicators and functions without defining their data handling, so it is not a self-contained implementation and the timing of the 500-day event count requires verification.

Key ideas

• The screen is run weekly and combines amplitude, institutional participation, and prior limit-up events.
• The stated thresholds are amplitude above one, institutional participation above 30, and at least two limit-ups over 500 days.
• The post suggests that the conditions may identify volatile shares with institutional interest and strong prior moves.
• Fundamental information is omitted, and the document reports no performance evaluation.
• The Python sketch depends on undefined platform-specific indicators and needs implementation and timing checks.

Tags

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