Screening Stocks for Recent Large Gains and Actual Turnover

Summary

This stock-selection note combines three filters: amplitude above 1, at least one daily gain of 10% or more in the previous 25 trading days, and actual turnover on the prior day between 3% and 28%. The author frames these conditions as a way to find volatile, recently strong, actively traded shares. The note includes indicator and Python examples, but they do not clearly implement the stated lookback condition or actual turnover measure, and some fundamental and valuation filters are left as placeholders.

The article identifies risks from speculative, high-turnover names, reliance on historical price behavior, and omission of company fundamentals. It recommends refining the turnover range and adding checks on liquidity, company performance, competition, and valuation. These are suggestions rather than tested additions: no backtest, comparison, or performance results are presented. The screen is best understood as an initial candidate filter that requires data validation and further research before it can support a trading decision.

Key ideas

• The screen looks for amplitude above 1 and a daily gain of at least 10% within the prior 25 trading days.
• It filters for prior-day actual turnover between 3% and 28%.
• High turnover can include speculative stocks, while historical price filters may not adapt to changing markets.
• The examples leave fundamental and valuation checks incomplete and provide no performance evidence.

Tags

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