A Stock Screen Using Turnover, Listing Year, and Volume Ratio

Summary

The document describes an equity screen centered on turnover between 3% and 12%, a 2021 listing year, and a volume ratio condition. Its stated final rule accepts stocks when the ratio is above 1.5 or below 6; because those conditions overlap broadly, the ratio filter may exclude few observations. The page also shows an indicator formula and Python example intended to identify candidates, including a subsequent positive price movement check over a recent period.

The write-up cautions that the screen omits broader fundamental and technical considerations, may be affected by market conditions and institutional flows, and relies on historical data that may not predict future returns. It gives no measured performance, comparison, or evidence that the selection rules are profitable. There are also inconsistencies between the prose and implementation details, so the examples should be treated as an imperfect illustration of screening logic rather than a validated trading system.

Key ideas

• The proposed screen combines turnover, IPO year, and volume ratio conditions.
• The stated ratio rule uses an OR condition that can make the filter weakly selective.
• The example code adds a positive price change check over a recent period.
• The author notes that the rules omit other relevant company and market information.
• No performance evidence is supplied, and the implementation does not fully align with the written rule.

Tags

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