A Stock Screen Using Daily Range and Turnover in 2021

Summary

This document describes a historical stock-selection screen based on daily price range and turnover. It selects stocks whose high-to-low range exceeds a stated threshold and whose turnover rate falls within a specified band, with the dates restricted to 2021. It frames the range condition as a way to identify more volatile shares and the turnover condition as a measure of trading activity. The article also gives example formula and Python implementations, though the calculation details differ in places and should be checked before use.

The document does not report backtest results or establish that the selected stocks performed well. It warns that the screen omits company fundamentals and may be sensitive to unusual conditions in its chosen year. It suggests combining the filters with other technical or fundamental measures and adapting thresholds to market, industry, and company context. The screen is therefore a basic filtering example, not a validated standalone strategy.

Key ideas

• The screen filters stocks by daily high-to-low range and a bounded turnover rate.
• Its sample period is limited to 2021.
• The article presents example formula and Python implementations, whose calculations require validation.
• The screen omits fundamental and performance analysis, so its selection rules alone do not establish trading value.

Tags

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