Screening Stocks by Range, Free Float, and Turnover

Summary

This stock screen selects shares with a daily price range above 1%, free float no greater than 5.5 billion shares, and turnover between 2% and 9%. The article presents the combination as a way to find stocks with notable price movement, a smaller share base, and a moderate level of trading activity. Example formulas and Python logic intersect the three filters, then rank qualifying stocks by turnover and select a portion of the eligible universe.

The article offers no backtest or performance evidence. It cautions that the screen ignores company fundamentals and may be vulnerable to broad market conditions or sudden company-specific events. It also notes that turnover alone is an incomplete measure of liquidity. The examples refer to range and turnover calculations, but conventions and data fields should be checked against the intended market and platform before implementation. Proposed extensions include fundamental, market, capital-flow, and technical inputs, as well as adapting the criteria to changing conditions.

Key ideas

• The screen combines a price-range threshold, a maximum free float, and a turnover band.\nThe example ranks qualifying stocks by turnover after applying the filters.\nThe article positions the screen for short-term trading but provides no performance evidence.\nIt warns that fundamentals, market conditions, and unexpected events are not captured.\nTurnover by itself may not fully describe liquidity.

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