Screening Stocks by Turnover, Ten-Day Return, and Auction Activity

Summary

This strategy note selects stocks with turnover between 3% and 12%, a positive ten-day price increase below 35%, and prior-day auction turnover above 0.26. It presents the rules as a way to find actively traded stocks with recent positive movement. A formula and a Python example are included, though the example’s data handling and comparisons are not fully aligned with the stated screening rules, so implementation details should be checked before use.

The note identifies short-term auction activity as potentially affected by temporary factors and says a ten-day return window may fail to capture longer-term trends. It suggests adding technical and fundamental measures, but does not test those proposals. No backtest, candidate list, or return evidence is provided, so the selection rationale remains unvalidated in the document.

Key ideas

• The screen requires turnover from 3% to 12%, positive ten-day appreciation below 35%, and prior-day auction turnover above 0.26.\nThe stated rationale combines trading activity with recent positive price movement.\nThe accompanying Python example may not implement the stated rules consistently and needs review.\nAuction activity can reflect short-lived effects, while the ten-day horizon may miss longer trends.\nThe note offers possible additional filters but reports no tested results.

Tags

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