Selecting Stocks by Turnover, Bid Depth, and Recent Activity

Summary

The document presents a short-term stock screen that selects shares with current turnover between 3% and 12%, greater volume at the best bid than at the best ask, and previous-day turnover above 8%. It frames turnover as a liquidity and activity measure and bid-side dominance as a sign of near-term buying interest. The screen is aimed at finding actively traded stocks rather than evaluating long-term business quality.

The article flags that this approach may miss fundamentally strong but temporarily inactive companies, and that using yesterday’s turnover can make the signal stale. It suggests adding valuation measures, preferring more stable securities to reduce unnecessary turnover costs, and using other activity indicators. It supplies sample screening logic and code, but presents no backtest or evidence that the proposed conditions predict returns. The code examples also contain implementation details that do not fully align with the stated screen, so the written conditions should be treated as the intended strategy description.

Key ideas

• The screen combines a current turnover range with greater best-bid than best-ask volume.
• It requires previous-day turnover above 8% to target recently active stocks.
• The approach prioritizes short-term trading activity and may exclude less active companies with strong fundamentals.
• Lagged turnover can make the signal stale, and frequent trading may add costs.
• The article proposes fundamental and activity filters but provides no performance evidence.

Tags

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