Screening Stocks by Turnover, Recent Losses, and Limit-Order-Book Attention

Summary

This stock-selection rule combines a turnover band of 3% to 12%, appearance on the prior day’s top-trader or unusual-trading list, and declines across the latest three sessions. The stated idea is to focus on moderately active shares that attracted market attention while recently falling in price. The document gives illustrative screening logic in platform-specific formula and Python examples.

No backtest, return series, or comparison with a benchmark is provided, so the screen’s predictive value is unestablished. The source notes that it relies on short-term price behavior and a narrow set of criteria, while omitting company fundamentals; this can produce mechanical selections. It suggests adding financial measures and broadening the candidate pool, but does not specify how to combine those inputs or test the revised screen.

Key ideas

• The screen selects shares with turnover between 3% and 12% and a prior-day unusual-trading listing.
• It also requires prices to have fallen over the latest three trading sessions.
• The examples translate the selection conditions into screening syntax and data operations.
• The source provides no performance evidence and flags the omission of fundamental analysis.

Tags

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