Screening Stocks by Daily Range, Listing Age, and Turnover

Summary

The document describes a stock screen that selects shares with a prior-day price range above 1%, more than a year since listing, and prior-day turnover above 8%. It explains the intended rationale: range and turnover are treated as signs of activity, while the listing-age filter aims to exclude very new stocks. The article also gives example indicator expressions and a Python outline that first narrows the universe by market capitalization before applying the three conditions.

The screen is a simple activity-based filter, not a tested trading system: it gives no entry, exit, holding-period, or portfolio rules, and reports no performance evidence. It cautions that turnover can reflect news and be followed by a reversal, and that the filters ignore fundamentals. Suggested extensions include valuation measures, technical indicators, and turnover averaged over several days. The provided implementation details should be checked carefully before use, including date handling and consistency between the stated rules and code.

Key ideas

• The screen requires a prior-day range above 1%, listing age over one year, and turnover above 8%.
• The article treats range and turnover as indicators of recent market activity.
• Its Python outline additionally filters the universe by market capitalization.
• High turnover may follow news and can precede a price adjustment.
• The method omits fundamentals and does not provide entry, exit, or performance rules.

Tags

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