Screening Stocks by Daily Range, Limit-Up Frequency, and Turnover

Summary

This stock-selection screen combines three daily-data conditions: price amplitude above one percent, at least two limit-up events during the prior 500 days, and turnover between two and nine percent. The article interprets amplitude and repeated limit-ups as signs of volatility and market attention, while turnover is used as a rough indicator of liquidity and investor participation. It supplies formula references and sample calculations intended to identify candidates meeting all three filters.

The document offers no backtest, selected-stock examples, or evidence that the criteria predict returns. It warns that the restrictive combination may leave few candidates and create selection bias, and that the focus on price behavior neglects company fundamentals and longer-term prospects. It suggests adding valuation or growth measures and considering quantitative or machine-learning analysis, but gives no validation procedure. The formulas and sample implementation are illustrative and would require careful checking of data definitions, limit-up rules, and historical coverage before use. The screen is therefore a candidate-generation idea, not a demonstrated trading strategy.

Key ideas

• The screen requires daily amplitude above one percent and turnover between two and nine percent.
• It also requires at least two limit-up events in the preceding 500 days.
• The article treats range and limit-up frequency as proxies for volatility and market attention.
• It notes that strict technical filters can narrow the universe and introduce selection bias.
• No backtest or evidence of predictive performance is provided.

Tags

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