A Stock Screen Using Range, Prior Turnover, and Trading Value

Summary

The page describes an equity screen combining three filters: daily price amplitude above one, prior-day trading value above 60 million, and turnover between 3% and 12%. It frames amplitude as a measure of price movement, trading value as an indicator of market activity, and turnover as a liquidity measure. The accompanying example applies the filters to stock data, using the previous session’s value for the trading-value condition.

The author cautions that the screen can still select weak performers and says market conditions may justify adjusting the turnover threshold. The page recommends considering additional technical and fundamental information, especially when volatility or speculative behavior is elevated. It supplies no backtest, performance statistics, transaction-cost analysis, or detailed definition of the amplitude units, so the screening rules should be treated as a starting point rather than evidence of a profitable strategy.

Key ideas

• The screen requires amplitude above one, prior-day trading value above 60 million, and turnover from 3% to 12%.
• The three filters are intended to capture price movement, trading activity, and liquidity.
• The author notes that the screen can still select stocks with poor performance.
• Thresholds may need adjustment as market conditions change.
• No performance evidence or transaction-cost analysis is provided.

Tags

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