Intraday Stock Screening with Range, Listing Status, and Turnover

Summary

This document presents an equity screen combining a price-range condition, exclusion of stocks marked ST, a selection time before 10 a.m., a five-session high condition, and turnover between 2% and 9%. Its example implementation calculates a range measure from the session high, low, and previous close, then filters the data by the listed conditions. The stated rationale is to refine technical selection with turnover and focus on market activity.

The document offers no backtest, performance evidence, or detailed definition of the named limit-up method. Its sample code treats a close equal to the rolling five-session maximum as the relevant condition, which may not fully capture that named method. The turnover calculation and timing rules also depend on the source data's units and timestamps. The author cautions that the screen may chase changing market themes and suggests considering fundamentals and adapting conditions to market context.

Key ideas

• The screen combines a range threshold, non-ST status, a before-10-a.m. selection time, and turnover between 2% and 9%.
• The example code uses a rolling five-session closing-price maximum as a proxy for the named limit-up setup.
• The document provides no backtest or evidence of strategy performance.
• Changing market conditions, data units, and the incomplete setup definition may affect results.

Tags

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