Screening Stocks by Price Range and Turnover Activity

Summary

This note presents a short-term equity screen based on daily high-low range and turnover. It combines a range threshold above one with turnover bounds: first greater than 2% and less than 9%, then greater than 3% and less than 12%. Because the latter interval is narrower, satisfying both turnover tests leaves an effective range above 3% and below 9%, assuming the same turnover measure is used. The document describes the screen as a way to find active stocks exhibiting short-term movement.

It cautions that the screen omits company fundamentals and may select unstable short-term moves, while frequent trading can increase costs. It recommends adding fundamental and technical measures, alongside risk controls and position management. The code example and prose do not establish a tested strategy: the range calculation uses a rolling high-low span in its example, and the turnover calculation and units may not match the percentage conditions. No backtest results, execution rules, or evidence of profitability are given.

Key ideas

• The screen combines a high-low range threshold with turnover constraints.
• Applying both stated turnover intervals effectively restricts turnover to above 3% and below 9% if the measure is consistent.
• The note presents the conditions as a way to identify active stocks with short-term movement.
• It warns that omitting fundamentals and risk controls can leave important risks unaddressed.
• The code example does not establish that its calculations match the stated conditions or that the screen performs well.

Tags

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