Screening Stocks by Turnover, Float Size, and Recent Returns

Summary

This post presents a stock-selection screen using turnover, circulating share count, and the prior ten-day return. Its initial rule specifies turnover between 3% and 12%, a circulating share count capped at 5.5 billion shares, and a ten-day gain between zero and 35%. A later proposed version adds a circulating-market-cap threshold, relative-strength and return-on-equity conditions, and MACD filters. Example formula and Python fragments illustrate how such conditions might be combined.

The post characterizes the screen as a way to find actively traded shares with recent positive performance, while warning that short-term price movement can be unstable and that fundamentals are omitted from the basic rule. It recommends broader indicators and risk controls, including a stop-loss example. The versions of the rule are not fully consistent, and the snippets do not establish a tested strategy: there are no reported backtest results, transaction costs, or portfolio risk measures. The material is best read as a rough screening template that needs data definitions and implementation checks before evaluation.

Key ideas

• The initial screen combines a turnover band, a cap on circulating shares, and a positive but bounded ten-day return.
• A later proposed version adds market-cap, relative-strength, return-on-equity, and MACD conditions.
• The post notes that short-term returns can be unstable and that the basic screen omits company fundamentals.
• Risk controls such as stop-loss rules are suggested, but no tested performance or cost analysis is supplied.
• The differing rule specifications and illustrative snippets should be reconciled before implementation.

Tags

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