Screening Stocks for Seven-Day Declines and Positive Period Returns

Summary

This note describes an equity screen combining turnover with recent price behavior. It selects stocks whose turnover rate is between 3% and 12%, whose closing price fell on each of the past seven days, and whose cumulative return over that span is positive. The stated rationale is to find liquid stocks that have pulled back while retaining a positive overall return across the period.

The document provides a formula-style description and a Python example that adds RSI, MACD, moving-average, and valuation conditions. These additions are suggestions rather than evidence of improved performance; the formula and example also differ in how they express the price and return conditions. No backtest results or performance statistics are reported. The author cautions that the screen relies on short-term technical behavior and does not account for fundamentals, sector conditions, or broader market risk, and that recent returns may not persist.

Key ideas

• The core screen requires turnover between 3% and 12%.
• It seeks seven consecutive daily declines alongside a positive cumulative return for the same span.
• The code example proposes adding momentum indicators, moving averages, and a valuation filter.
• No empirical performance evidence is provided, and the example's conditions may not exactly match the prose.

Tags

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