Screening 2021 IPOs by Turnover and Prior Limit-Down Prices

Summary

This stock-selection rule combines three filters: turnover between 3% and 12%, a listing year of 2021, and a prior-day price condition described as a limit-down match price at 9:15. The accompanying Python example outlines how to identify candidate stocks, estimate turnover, and retain listings from the specified year. No results or backtest evidence are reported, and the document provides no technical indicator formula for the 9:15 condition.

The strategy treats a sharp prior decline as a sign of negative market sentiment and proposes using turnover and listing age to narrow the universe. Its author cautions that this sentiment-based filter does not assess company fundamentals and may therefore include low-quality candidates. The example code appears to use price changes and available stock data as proxies, so it may not reproduce the stated opening-auction condition exactly. Fundamental and industry checks are suggested, but no entry, exit, or risk-management rules are defined.

Key ideas

• The screen targets stocks listed in 2021 with turnover between 3% and 12%.
• A prior-day 9:15 limit-down matching-price condition is used as a sentiment filter.
• The example code does not clearly establish that it measures the described auction condition.
• The rule excludes fundamental analysis and provides no backtest or trading results.
• The article suggests adding company and industry checks but does not specify trading exits.

Tags

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