A Short-Term Stock Screen Using Range, Turnover, and Lower Lows

Summary

This post describes a simple equity screen combining three conditions: a large daily trading range, moderate realized turnover on the prior day, and a current low below the previous session’s low. The proposed interpretation is that it identifies actively traded stocks showing short-term weakness that might also rebound. The article includes example formula and Python snippets, but gives no test results or evidence that the screen predicts returns.

The post cautions that a rapid market rebound or new buying pressure could undermine the signal, and that volatile, actively traded stocks may remain under selling pressure. It suggests adding price indicators, company fundamentals, or sector context as possible refinements. The screening rules are presented without a defined universe, holding period, portfolio construction, transaction-cost treatment, or measured performance. One turnover calculation in the examples may not match the stated use of prior-day actual turnover, so implementation details should be checked before research or trading.

Key ideas

• The screen requires a large daily range, prior-day turnover within a stated band, and a current low below the previous low.
• The author frames the conditions as a way to find active stocks with recent price weakness and possible rebound potential.
• The post supplies example implementation snippets but no backtest or performance evidence.
• Rapid reversals and continued selling pressure are identified as risks.
• The examples leave implementation details unclear, including how turnover is aligned with the stated rule.

Tags

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