Stock Screen for Moderate Turnover, Seven Down Days, and Positive Ten-Day Gain

Summary

This stock screen combines a turnover range of 3% to 12% with seven consecutive declining sessions and a positive ten-day price change capped at 35%. The intended setup looks for stocks that have recently pulled back while retaining a positive short-term return. The document gives a selection formula and a Python example, though the examples do not appear to express every stated condition consistently.

The author notes that adding filters can reduce the number of eligible stocks and raise concerns about overfitting. Suggested adjustments include incorporating financial or technical measures and loosening constraints to broaden the candidate pool. No historical tests, performance statistics, or evidence that the setup predicts gains are provided, so it should be understood as a proposed screen rather than a validated strategy.

Key ideas

• The screen requires turnover between 3% and 12% and seven consecutive declining sessions.
• It also requires a positive ten-day price change no greater than 35%.
• The document cautions that more conditions can narrow the selection and increase overfitting risk.
• Its formulas and code are examples, and the document reports no backtest performance.

Tags

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