Ranking Stocks by Volume Ratio After Turnover and Return Filters

Summary

The selection rule ranks stocks by volume ratio from highest to lowest, after filtering for yesterday’s turnover above 8% and a 10-day gain greater than 0% but less than 35%. The stated rationale is to find shares with strong trading activity, high turnover, and recent positive performance. The document also suggests adding valuation measures, support and resistance levels, and market sentiment indicators to broaden the screen.

The source warns that the method focuses heavily on short-term performance, may neglect longer-term value, and cannot reliably predict future returns or account for broad market and industry conditions. It includes a partial code example, but the excerpt is incomplete and does not demonstrate a complete implementation. No backtest or return evidence is presented, so the screen is an illustrative filter rather than a validated trading strategy.

Key ideas

• The screen ranks stocks by volume ratio in descending order.
• It filters for yesterday’s turnover above 8% and a 10-day return between 0% and 35%.
• The approach targets active stocks with recent gains but emphasizes short-term behavior.
• The document notes risks from missing valuation, market context, and industry trends.
• No completed implementation or backtest results are provided.

Tags

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