Screening Stocks by Ten-Day Gains, Price Range, and Turnover

Summary

This stock selection proposal filters for amplitude above one percent, a positive ten-day price change below thirty-five percent, and turnover between two and nine percent. The post interprets the range as a measure of volatility, the return band as a way to avoid the strongest recent gainers, and turnover as a gauge of attention and capital flow. It includes an indicator formula and a Python example for applying filters to stock data.

The post cautions that turnover is affected by liquidity, and that range and past returns alone cannot ensure a profit opportunity. It recommends combining the screen with factors such as market capitalization, industry, technical indicators, fundamentals, and market conditions. Its final suggested turnover bands differ from the initial rule, and the code includes a stock-price equality filter that is not explained by the screening rationale. No backtest evidence or performance results are reported, so the proposed criteria remain unvalidated.

Key ideas

• The initial screen uses amplitude above one percent, a positive ten-day return below thirty-five percent, and turnover between two and nine percent.
• The post treats amplitude, recent return, and turnover as rough indicators of volatility, price movement, and trading activity.
• Liquidity can affect turnover, and the filters do not guarantee favorable returns.
• The author recommends adding industry, fundamental, or other market filters.
• The post provides no backtest results, and its final turnover suggestion differs from its initial condition.

Tags

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