Screening Stocks by Turnover and Buyer-Initiated Volume

Summary

This stock-selection rule screens for turnover between 3% and 12%, a ratio of outside volume to inside volume above 1.3, and exclusion of China’s Science and Technology Innovation Board. The accompanying implementation also includes a recent volume surge condition and ranks candidates using a weight based on average turnover and volume relative to price. These implementation details extend beyond the shorter rule stated at the start of the document, so the exact intended screen is somewhat inconsistent.

The author presents the method as a technical screen and warns that it omits fundamental analysis and may behave differently across market regimes. Combining technical, financial, and market sentiment measures is suggested as a possible improvement. No backtest, benchmark, holding period, risk controls, or transaction-cost analysis is provided; the stated criteria therefore describe a candidate filter, not demonstrated investment performance.

Key ideas

• Screen for turnover between 3% and 12% and an outside-to-inside volume ratio above 1.3.
• Exclude Science and Technology Innovation Board stocks from the candidate universe.
• The code example adds a recent volume surge filter and ranks selected stocks, creating differences from the simpler rule description.
• The strategy is technically focused and may miss important fundamental information.
• The document provides no backtest or evidence that the screen produces profitable trades.

Tags

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