A Small-Float Stock Screen with Overlapping Turnover Filters

Summary

This proposed equity screen combines a circulating-share threshold of no more than 5.5 billion shares with multiple turnover constraints. Read together, the stated final criteria require turnover to be at least 3% and no more than 12%, while also being above 2% and below 9%; the effective range is therefore 3% to less than 9%. The article frames the filters as a way to balance trading activity with liquidity and to focus on smaller-float companies that may attract market attention.

The note cautions that the screen omits company fundamentals and industry context, potentially including weak businesses, and emphasizes short-term market moves rather than longer-term value. It proposes adding measures of profitability, financial condition, growth, and capital flows. The examples illustrate possible filters but give no backtest results or evidence that the screen predicts returns; the stated rationale should not be taken as proof that the turnover band or float cutoff is optimal.

Key ideas

• The final stated constraints imply turnover from 3% up to, but not including, 9%, alongside a circulating-share cap of 5.5 billion.
• The proposal treats turnover as a liquidity and activity filter and small float as a possible attention factor.
• The screen does not account for fundamentals, sector conditions, or longer-term investment value.
• The article suggests adding financial, growth, and capital-flow measures but reports no performance validation.

Tags

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