Screening Main Board Stocks by Range, Turnover, and Daily Gains

Summary

This note describes a short-term screen for main-board stocks that combines intraday range, prior-day actual turnover, and a positive move on the current day. The stated criteria are an amplitude above 1, turnover between 3% and 28%, and a daily gain above 1%. It also provides example implementations and describes sorting candidate stocks by turnover.

The rationale is to find actively traded stocks showing price movement and recent strength. The document cautions that this approach depends heavily on short-term price history and does not account for company finances, long-term prospects, or industry concentration. It suggests adding fundamental, industry, and policy inputs and applying sector risk controls. No backtest, performance statistics, or evidence of predictive value is presented, and the accompanying code is illustrative and may need adjustment.

Key ideas

• The screen selects main-board stocks with amplitude above 1, prior-day turnover from 3% to 28%, and a current-day gain above 1%.
• The selection rationale combines price movement, trading activity, and recent upward performance.
• The method omits company fundamentals and may concentrate exposure in particular industries or sectors.
• The document recommends adding broader fundamental and sector information, but reports no backtest results.

Tags

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