Screening Stocks by Turnover, Prior-Day Leaderboard Activity, and Limit-Up Exclusion

Summary

This equity screen selects stocks with turnover between 3% and 12%, reported appearance on the prior day’s trading leaderboard, and exclusion of stocks that hit the prior day’s upper price limit. The rationale is to focus on actively traded names with notable recent market attention while avoiding immediate entry after a limit-up move. The document includes screening logic and code examples for applying the conditions.

The source warns that the rules omit company fundamentals and industry characteristics, and that market reversals or elevated valuations may make the screen miss other opportunities. It proposes adding fundamental, industry, trend, or volume measures for broader assessment. No historical test, return data, or evidence that the exclusion reduces risk is provided, so the rationale should be treated as a hypothesis. The code examples also differ in how they encode limit-up and leaderboard conditions, which would need reconciliation against the relevant data definitions before research or deployment.

Key ideas

• The screen constrains turnover to a range from 3% to 12%.
• It requires a prior-day trading leaderboard appearance and excludes prior-day limit-up stocks.
• The stated rationale is to target active stocks while avoiding entry immediately after a sharp capped rise.
• The screen does not account for fundamentals, sector characteristics, or broad market conditions.
• The document gives no performance evidence, and its example implementations may encode conditions differently.

Tags

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