Screening Stocks by Intraday Range, Turnover, and Prior Limit-Down Pricing

Summary

This proposed stock screen combines three conditions: an amplitude greater than 1, prior-day actual turnover between 3% and 28%, and a prior-day 9:15 indicative matching price at the limit-down level. The article frames these filters as a way to consider price movement, trading activity, and a recent market event together. It includes illustrative formula and Python snippets for calculating the conditions and producing a candidate list.

The document does not report tests, returns, or evidence that the combination predicts an opportunity. It warns that the conditions may produce selection errors and that interpreting an indicative limit-down price requires care as market conditions change. The examples also leave important definitions and implementation details unclear, including the amplitude scale, how actual turnover is calculated, and how the matching-price condition is aligned with market data. The author suggests adding fundamental and industry information, clarifying the screening criteria, and adjusting risk controls to current conditions. These gaps mean the screen is a hypothesis requiring precise data definitions and validation, not a demonstrated trading strategy.

Key ideas

• The proposed screen combines price amplitude, prior-day turnover, and a prior-day indicative limit-down price.
• Its conditions are intended to reflect volatility, trading activity, and recent market behavior.
• The article gives illustrative calculation logic but does not provide performance evidence.
• Key metric definitions and data alignment need clarification before implementation.
• The author recommends broader evaluation and active risk management.

Tags

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