Stock Screen for Wide Ranges, Prior Turnover, and No Prior-Day Limit-Up

Summary

This article outlines a stock screen using three conditions: an amplitude threshold above 1, prior-day actual turnover between 3% and 28%, and exclusion of stocks that closed at the upper price limit the previous day. It presents the filters as a way to find active stocks while avoiding names that had an especially strong prior session. The article warns that volatility and turnover can shift with market conditions, and that excluding prior limit-up stocks may also remove opportunities.

The examples are not fully consistent with the stated rules. In particular, the formula labels a high-low range divided by the open as amplitude, and the sample code calculates a volume ratio where the prose calls for turnover; the meaning and units of the threshold are therefore unclear. The snippets also do not establish a complete, reliable screening process. No historical test, performance results, or portfolio and exit rules are given, so the proposed conditions remain an unvalidated selection idea.

Key ideas

• The proposed screen combines an amplitude threshold with prior-day turnover bounds.
• It excludes stocks that were at the upper price limit the previous day.
• The article warns that changing market conditions can affect the filters and that exclusions may remove opportunities.
• The examples appear to conflate turnover with volume ratio and leave amplitude units unclear.
• No backtest or performance evidence is provided.

Tags

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