Screening 2021 IPOs by Turnover and Recent Trading Value

Summary

This stock screen selects companies listed in 2021 whose turnover is between 3% and 12% and whose previous-day trading value exceeds 60 million. It uses listing year as a cohort filter and combines it with measures of trading activity and liquidity. The article explains that these conditions are intended to identify stocks with the desired activity profile, and gives a formula for approximating trading value from closing price and volume, along with sample implementation code.

No backtest or return evidence is provided, and the article says the conditions cannot ensure continued performance. It flags possible liquidity problems and notes that the screen omits technical signals. The suggested improvement is to add technical indicators and manage position sizes carefully. Its code is illustrative and does not establish the validity of the selection logic or its units; readers would need to verify data definitions and test the screen before relying on it.

Key ideas

• The screen requires a 2021 listing year, turnover from 3% to 12%, and previous-day trading value above 60 million.
• It combines a listing cohort filter with measures of market activity and liquidity.
• The article gives an example that estimates trading value using closing price and volume.
• The document provides no performance test and warns that liquidity and continued performance are uncertain.

Tags

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