A Turnover, Beverage Industry, and Order-Book Stock Screen

Summary

This document describes an equities screening rule combining a turnover range, beverage and alcohol industry classification, and a comparison between displayed best bid and ask quantities. It presents the intended screen as selecting stocks with turnover between 3% and 12%, in the specified industry group, and greater volume at the best bid than at the best ask. It also includes sample formula and Python references, although parts of the formula and data handling appear inconsistent with the stated rule.

The note offers no performance results or backtest evidence. It explicitly cautions that the screen omits company financials and broader fundamentals, and suggests adding valuation measures such as earnings and book-value multiples. The rule is therefore a basic filtering example, not a validated strategy; its usefulness depends on accurate industry classification, reliable order-book data, and testing that accounts for execution and transaction costs.

Key ideas

• The screen combines turnover between 3% and 12% with a beverage and alcohol industry filter.
• It compares displayed best-bid and best-ask quantities as an order-book condition.
• The document provides formula and Python examples, but some implementation details conflict with the stated selection rule.
• The screen omits financial and fundamental analysis and supplies no performance evidence.
• Further evaluation would need data-quality checks and realistic backtesting of execution costs.

Tags

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