Equity Screening by Turnover, Recent Exchange Attention, and Low P/E

Summary

This screening rule selects equities with turnover between 3% and 12%, a flag indicating appearance on the prior day's exchange activity list, and a price-to-earnings ratio below 20. The stated rationale is to combine a moderate level of trading activity with a valuation filter, while using the exchange-attention flag as another selection condition. Formula and Python examples are included to express these filters.

The post warns that the screen relies heavily on P/E, which may produce poor selections when valuations are elevated across the market or an industry. It may also exclude companies with strong financial results but higher multiples. Suggested extensions include adding measures such as price-to-book or dividend yield and considering broader market, sector, and company information. No backtest, return results, or validation is provided, so the rules should be treated as a screening proposal rather than evidence of an effective strategy.

Key ideas

• The screen requires turnover from 3% to 12%, prior-day exchange-list appearance, and P/E below 20.
• The criteria combine trading activity and a simple valuation measure.
• A strict P/E cutoff can exclude financially strong companies or perform poorly in high-valuation markets.
• The post suggests adding other valuation and fundamental measures.
• No evidence of historical strategy performance is supplied.

Tags

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