Screening for Turnover, Prior-Day Leaderboard Presence, and Auction Activity

Summary

This short-term equity screen selects stocks whose turnover lies within a specified band, that appeared on the prior day's trading leaderboard, and that had positive pre-open auction turnover above a stated threshold. The document frames the combination as a way to find recently active stocks for short-horizon trading and provides a direct formula and a simple data-filter example.

No backtest, sample trades, or return statistics are included, so the suggestion that the conditions identify strong recent performers is not supported with evidence. The author notes that the screen omits company financials and therefore reflects trading activity rather than business quality. The description also varies slightly between its initial and final thresholds for auction turnover, which should be resolved before implementation; it gives no entry, exit, or risk-management rules.

Key ideas

• The screen combines a turnover range, prior-day leaderboard appearance, and pre-open auction turnover.
• The stated purpose is to identify recently active stocks for short-term trading.
• The document provides a formula and a basic filtering example but no performance evaluation.
• The approach excludes fundamental company information and lacks entry, exit, and risk rules.
• The auction-turnover threshold differs across the description and should be clarified.

Tags

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