Selecting Stocks by Daily Range, Prior Limit Status, and Turnover

Summary

This note proposes screening stocks using three recent trading conditions: daily price amplitude above a threshold, no limit-up session on the prior day, and prior-day turnover above a threshold. The rationale is to favor stocks with movement and trading activity while avoiding names that have just risen exceptionally quickly. The article also suggests adding valuation, profitability, and technical measures and adjusting turnover requirements as market conditions change.

The document includes indicator and data-processing examples, but no backtest or evidence that the filters produce attractive returns. Its implementation example has inconsistencies with the written rule: it introduces a circulating-market-value condition that the rule does not state, and the volume calculations do not straightforwardly demonstrate a turnover percentage. The screen should therefore be treated as an idea requiring clarification and validation. The note itself acknowledges that yesterday’s activity and price behavior omit important fundamental and technical risks.

Key ideas

• The proposed screen requires a large daily price range, no prior-day limit-up, and high prior-day turnover.
• The rationale is to target active stocks while avoiding names that have just surged to the daily limit.
• The article recommends adding fundamental and technical factors and adapting thresholds to market conditions.
• No performance evidence is provided, and the code example does not cleanly match the stated screening rule.

Tags

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