Screening Stocks by Range, Price Shape, and Prior Auction Turnover

Summary

This proposed stock screen combines a daily range threshold, a rounded or arc-like price-shape condition relative to short and medium moving averages, and positive turnover activity from the previous session’s auction. The article supplies indicator-formula and Python examples, presenting the filters as a way to find active stocks with comparatively smooth price movement and signs of market attention.

The implementation details are not fully consistent: the narrative gives an auction-turnover threshold, while the formula and Python example use differing turnover levels and comparisons. The description of the arc-like shape is also operationalized through distance from moving averages, which may not capture a unique pattern. No backtest or outcome evidence is provided. The authors note that the rules are narrow, ignore company fundamentals, and may select weak stocks; they suggest adding technical and fundamental filters.

Key ideas

• The screen combines a minimum daily range with a price-shape condition based on moving averages.
• It also uses turnover from the preceding session’s auction as an activity filter.
• The article provides formula and Python examples, but their turnover thresholds are inconsistent.
• The proposed filters do not account for company fundamentals and are not supported by performance tests.
• Additional technical and fundamental criteria are suggested as possible refinements.

Tags

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