Screening Equities by Range, Turnover, and Large-Player Activity

Summary

The post outlines an equity screen that selects stocks with a daily high-low range greater than 1%, prior-day trading turnover above 60 million, and an indication of large-player control or participation. Its example indicator logic adds volume expansion, positive price movement, and price-above-average conditions to estimate that participation. The article also sketches how to combine screening conditions in a data workflow, though the Python example leaves the large-player condition and a closing-price condition undefined.

The author warns that the screen omits company fundamentals and that the large-player measure may reflect market trading conditions rather than business quality or future prospects. Suggested refinements include combining the signal with other technical indicators and adding financial, industry, or management filters. No backtest, return series, or risk statistics are presented, so the post gives a screening idea rather than evidence of profitability; data definitions and the mismatch between turnover wording and volume fields would also need checking before implementation.

Key ideas

• The proposed screen combines a range threshold, prior-day turnover threshold, and an estimate of large-player activity.
• The example technical conditions also look for elevated volume and positive price behavior.
• The code examples leave some conditions incomplete and use fields that may require interpretation.
• The post identifies missing fundamental analysis and possible limitations in the large-player proxy.
• No performance evidence is provided, so the screen should not be treated as a validated strategy.

Tags

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