A Stock Screen Using Turnover, Three Down Days, and Prior Limit Status

Summary

This document presents a narrow equity screening rule: select stocks with turnover between 3% and 12%, three consecutive declining sessions, and a prior-day close that was not at the limit-up price. It frames the conditions as a way to find stocks after a short losing streak while requiring a specified level of trading activity. The article also offers example implementations in a charting formula and Python using historical daily prices and stock data.

No backtest, return series, benchmark comparison, or market-specific validation is provided. The article itself notes that the filter considers few inputs and that stock prices also respond to sentiment, company results, and other conditions; it suggests adding valuation, earnings, market, and technical information. The sample code may not faithfully implement all stated conditions: its displayed chart formula does not clearly express three declining closes, and the Python example does not visibly calculate turnover from its queried fields. Limit-up price rules can also vary by market and security. Treat the screen as a basic hypothesis to test with point-in-time data and explicit trading and risk assumptions.

Key ideas

• The proposed screen requires turnover from 3% to 12%, three declining sessions, and no prior-day limit-up close.
• The document provides sample charting and Python implementations but no performance evidence.
• The screen uses few inputs and may omit relevant company, market, and technical conditions.
• The sample implementations do not clearly demonstrate that every stated criterion is calculated as described.
• Market-specific limit rules and data quality should be checked before evaluating the screen.

Tags

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