Stock Screening by Price Range and Turnover Activity

Summary

This article proposes selecting stocks using three activity-related conditions: a price amplitude above a threshold, actual turnover within a specified band on the previous day, and positive auction-period turnover above a threshold. It frames the added auction-turnover condition as a way to focus on more actively traded stocks and market sentiment. Example formulas and Python snippets are provided to demonstrate how the filters might be combined into a screening result.

The article warns that the screen omits company fundamentals and may produce volatile selections. It also notes that the chosen measures may be correlated, leaving the screen less diversified in the information it uses, and suggests adding technical or fundamental data for further investigation. No backtest results or evidence of predictive performance are reported. The sample code is illustrative and contains data and calculation assumptions that readers would need to check against their market, vendor, and intended definitions of amplitude and turnover before relying on it.

Key ideas

• The proposed screen combines price amplitude with prior-day turnover and auction-period turnover.
• The article presents trading activity and auction participation as proxies for market attention or sentiment.
• It cautions that the filters omit longer-term company fundamentals and may yield volatile picks.
• The selected indicators may overlap in the information they capture.
• Example formulas are supplied, but the article reports no backtest or predictive evidence.

Tags

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