Screening Stocks by Price Range, Turnover, and Relative Annual Gains

Summary

This stock screen combines price movement, trading activity, and historical performance. It selects shares with a stated amplitude above one, prior-day actual turnover between 3% and 28%, and a 2021 gain above the market average. The article’s rationale is that the range and turnover filters identify active stocks, while relative gains favor stocks that have performed well. It includes sample formula and Python snippets, but some details appear inconsistent with the written criteria, including how amplitude, turnover, and annual performance are calculated.

The post warns that a stock with strong past gains may still decline because of funding or fundamental problems, and that choosing the right measurement period is difficult. It suggests adding financial data and other technical measures. No backtest, performance statistics, or evidence that the filters predict future returns is reported, so the screen should be understood as a proposed selection rule rather than a validated strategy.

Key ideas

• The screen combines amplitude, prior-day turnover, and performance relative to the market average.
• It uses a turnover band to focus on stocks with specified trading activity.
• Past outperformance can reverse, particularly when financial or funding conditions change.
• The sample implementations may not faithfully calculate every stated filter.
• The article provides no backtest results or evidence of predictive performance.

Tags

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