Screening Stocks by Daily Range, Turnover, and Auction Volume Ratio

Summary

This post presents a stock screen requiring a daily price range above 1%, turnover between 2% and 9%, and a combined measure of the prior day's turnover and the ratio of current auction volume to the previous day's volume falling between 0.5 and 2. The stated aim is to identify volatile, actively traded stocks. It includes formula and Python examples, but the code appears to use differing volume fields and sampling details, so it may not implement the written rule consistently.

The article gives no backtest or measured results. It warns that auction volume can be distorted, that active stocks may carry greater volatility, and that the screen may not transfer across market conditions. It recommends market-specific adjustment, fundamental analysis, and a risk-control framework; it does not specify validation or execution rules.

Key ideas

• The screen combines a daily range threshold with a bounded turnover filter.
• It adjusts prior turnover using the ratio of current auction volume to prior volume.
• The provided examples may not consistently match the stated volume calculation.
• No performance evidence is supplied, and the post highlights volatility and market-regime risks.

Tags

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