Equity Screening with Turnover, Recent Lows, and Auction Amount

Summary

This post describes an equity screening idea that filters stocks by a specified turnover range and recent price weakness, then ranks candidates by the current day's auction amount and selects the highest-ranked names. It frames a multi-day decline as a possible oversold signal and auction activity as a way to prioritize stocks with stronger immediate interest. The post also suggests adding fundamental filters and risk controls, though it does not define or test those additions.

The described rules are internally inconsistent. The prose says to find stocks that fell for seven consecutive days, while the indicator expression checks a seven-day low and also includes a prior-day price comparison that does not implement seven consecutive declines. The sample Python likewise checks a rolling low and requires the latest close to exceed the previous close. No backtest results, benchmark, transaction costs, or out-of-sample evidence are given, so the proposed selection logic should be treated as an unvalidated screening example.

Key ideas

• The screen filters equities by turnover before ranking them by current auction amount.
• The stated idea combines recent price weakness with auction activity to select candidates.
• The prose and sample conditions do not consistently encode seven consecutive down days.
• The post recommends adding fundamental filters and risk controls but does not specify them.
• 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.