Screening Stocks by Prior-Day Turnover, Amplitude, and Trading-List Flows

Summary

This stock-selection idea combines three filters: price amplitude above one percent, appearance on the prior day's notable-trading list with reported buying exceeding selling, and turnover between three and twelve percent. The article presents the filters as a way to find active stocks with signs of buying pressure while keeping turnover within a chosen band. It includes example formulas and Python-style workflow for intersecting the candidate lists, then ranking qualifying names by turnover and selecting a fraction of the universe.

The author notes that turnover alone does not guarantee adequate liquidity, and the screen may exclude stocks with stronger trading activity. Suggested additions include float size, capital flows, and block trades. No backtest or return evidence is supplied, and the stated rationale that these signals indicate an uptrend is not demonstrated. The examples also depend on specific data fields and timing conventions, so a live implementation would need to verify prior-day alignment, data availability, and transaction costs.

Key ideas

• The screen requires amplitude above one percent, positive net buying on the prior day's notable-trading list, and turnover between three and twelve percent.
• Qualifying stocks are intersected and then ranked by turnover for selection.
• The article warns that an acceptable turnover reading does not ensure low execution costs or sufficient liquidity.
• No backtest evidence is presented, and the proposed buying-pressure interpretation remains unvalidated.

Tags

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