Screening Stocks by Turnover, Three-Day Declines, and Company Size

Summary

This note describes an equity screen that selects stocks with daily turnover between 3% and 12%, three consecutive declining sessions, and company size above 200 million. It provides example rule implementations and ranks qualifying stocks by size in the Python example. The technical condition is presented as a way to find stocks that have pulled back while maintaining a selected level of trading activity.

The document does not provide backtest results or evidence that the screen is profitable. It warns that the rules omit company fundamentals and industry characteristics, and that a size filter can exclude high-growth firms. The examples also do not fully align: the formula uses moving-average declines and additional conditions, while the Python example checks falling closing prices and adds a price-related filter. The author suggests combining fundamental, technical, and industry measures, then managing risk with suitable exit rules.

Key ideas

• The screen combines a 3%–12% turnover band, three declining sessions, and company size above 200 million.
• The examples use different implementations of the decline condition and include additional filters.
• The document provides no performance evidence for the strategy.
• The author identifies omitted fundamentals and industry traits as limitations.
• Risk management and a broader scoring model are suggested as possible improvements.

Tags

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