Screening Equities by Turnover and Consecutive Down Days

Summary

The document describes an equity screen that selects stocks with turnover between 3% and 12% and consecutive daily declines. Its stated conditions require both a seven-day and a three-day losing streak, so the shorter condition adds no constraint when the seven-day condition is met. The example code instead checks whether each day’s close is below its open, which is not the same as a decline from the previous day’s close. This distinction matters when implementing or interpreting the screen.

The article frames the screen as a way to filter by trading activity and recent weakness, but it provides no backtest, performance figures, or evidence that the conditions predict returns. It cautions that turnover and price declines alone omit company fundamentals and broader market conditions. It suggests incorporating those factors when assessing trades. The material is an idea for a screening rule rather than a validated strategy, and its differing descriptions of a down day should be resolved before use.

Key ideas

• The screen combines a turnover range of 3% to 12% with consecutive losing days.
• Requiring both seven and three consecutive down days makes the three-day test redundant if the seven-day test is literal.
• The code checks close below open, while the written description refers to consecutive daily declines.
• The document offers no performance evidence for the screen.
• It recommends considering fundamentals and market volatility alongside the screen.

Tags

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