Stock Screening by Daily Range and Prior-Day Turnover

Summary

This post describes a historical stock screen using three conditions: daily price amplitude above 1%, calendar year 2021, and prior-day actual turnover between 3% and 28%. The resulting stocks are intended to form a candidate pool. The author associates a larger range with greater price movement and turnover within the specified band with some trading activity and liquidity, while warning that neither range nor turnover establishes investment value.

The post recommends adding valuation measures such as price-to-earnings or price-to-book ratios, technical indicators such as RSI or MACD, and position and risk controls. It provides indicator-formula and Python sketches, but their amplitude calculations use different denominators, so the exact threshold is inconsistent. The Python example also relies on an identified data source whose suitability is not explained. The 2021 restriction makes the screen historical, and no backtest results or evidence of profitability are provided; the stated possible opportunity should therefore be treated as a hypothesis, not a demonstrated edge.

Key ideas

• The screen selects observations from 2021 with daily amplitude above 1%.
• It requires the previous day’s actual turnover to fall between 3% and 28%.
• The post treats range and turnover as candidate-selection features, not proof of investment value.
• The formula and Python examples calculate amplitude differently, and no performance evidence is reported.

Tags

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