Screening Stocks by Price Range and Prior-Day Auction Turnover

Summary

This stock screen selects equities whose price range exceeds a threshold, that were not limit-up stocks on the prior session, and whose prior-day turnover measure exceeds 0.26. The article interprets elevated turnover as a possible sign of investor attention or demand. It includes a sample workflow using market data to identify candidates and filter out certain listings and prior-day limit events.

The document does not provide backtest results or evidence that the turnover condition improves returns. It cautions that the screen omits other technical and fundamental influences and that market uncertainty can produce unusual price movements. The example code appears to mix limit-up and limit-down lists before removing duplicates, and its turnover measure may not be identical to the described auction-specific measure. Those details need checking against the data provider and intended universe. The screen is best treated as a candidate-generation rule that requires precise data definitions, historical testing, and consideration of liquidity and execution.

Key ideas

• The screen combines a price-range threshold with prior-day limit-status and turnover filters.
• The article treats higher turnover as a possible indicator of market attention, not proof of future returns.
• The sample workflow also filters selected listing groups and uses prior-session market data.
• No performance evidence is supplied, and other technical and fundamental factors are omitted.
• The code's data fields and filtering steps should be checked against the intended auction-turnover definition.

Tags

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