A Stock Screen for Turnover, Three Declining Sessions, and a Positive Return

Summary

This stock-selection rule looks for equities with turnover between 3% and 12%, three consecutive sessions described as bearish, and a positive return on the current day. The stated rationale combines relatively active trading with recent price weakness and a current uptick, effectively seeking a potential short-term reversal. The document includes example formula and Python reference material, but the implementations do not align perfectly with the prose: some code checks falling moving averages or declining closing prices rather than three bearish candle bodies.

The author cautions that the screen can ignore company fundamentals and suggests adding valuation and profitability measures. The document provides no backtest, sample period, entry and exit plan, or transaction-cost analysis. Its criteria therefore describe a candidate-stock filter, not a fully specified trading strategy or evidence that the pattern predicts returns.

Key ideas

• The screen requires turnover between 3% and 12%, three consecutive declining sessions, and a positive current-day return.
• The proposed rationale is to find actively traded stocks that may be rebounding after recent weakness.
• The example implementations use conditions that do not fully match the written definition of three bearish sessions.
• Fundamental measures are suggested as additional filters.
• No historical performance, trading horizon, or transaction-cost evidence is provided.

Tags

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