Screening Small-Cap Stocks by Price Range and Prior Turnover

Summary

This post describes a short-term stock screen using three conditions: prior-session price amplitude above a threshold, freely circulating shares at or below a stated cap, and prior-day turnover above a threshold. The stated aim is to find relatively active, smaller stocks with noticeable price movement. It provides formula and Python-style examples for combining the filters and ranking qualifying names by turnover.

The post does not present a backtest or measured returns. It warns that high turnover can follow a sharp move or a news event, that short-term filters may capture noise, and that the screen ignores company fundamentals. It suggests adding financial and longer-horizon indicators, industry context, and checks for event-driven price moves, but supplies no tested methodology for those additions. The stated thresholds and sample calculations should therefore be treated as a screening example, not as evidence of a reliable trading strategy.

Key ideas

• The screen combines prior price amplitude, a freely circulating share cap, and prior-day turnover.
• The example ranks stocks passing all conditions by turnover.
• The post provides no backtest or evidence of profitability.
• High turnover may reflect a one-off price shock, while short-term conditions can be noisy.
• The author recommends considering fundamentals and longer-term context alongside the screen.

Tags

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