Screening Main-Board Stocks by Turnover and Recent Price Gains

Summary

This simple momentum-oriented screen selects main-board shares with turnover between 3% and 12%, a positive but less than 35% gain over ten days, and a daily gain above 1%. The stated rationale is to focus on actively traded stocks that have recently advanced and are also rising on the current day. The post suggests supplementing these price and turnover rules with valuation measures such as price-to-earnings and price-to-book ratios, alongside company and industry analysis.

The document provides rule descriptions and sample implementation references, but no backtest results or evidence that the filters predict future returns. Its discussion recognizes that the basic screen ignores detailed company analysis and can select stocks vulnerable to market fluctuations. The sample code also includes additional filters and historical data handling that are not fully reconciled with the primary screen, so it should not be taken as a validated specification. No risk controls, execution assumptions, or portfolio construction method are established.

Key ideas

• The screen requires turnover in the 3%–12% range and a positive ten-day return below 35%.
• It further requires a current-day gain greater than 1% and limits candidates to main-board stocks.
• The author recommends considering valuation, fundamentals, and industry conditions as additional filters.
• No performance test is reported, and the example implementation does not fully match the stated screening rules.

Tags

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