Stock Screening by Price Range, Turnover, and Institutional Holdings
Summary
The document describes a stock screen requiring an amplitude measure above 1, prior-day actual turnover between 3% and 28%, and an increase in institutional ownership. It presents these conditions as a way to combine price fluctuation, trading activity, and changes in institutional holdings. Example formulas and Python snippets illustrate the intended filters, but the article does not specify a test period, portfolio construction method, or trading rules for acting on selected stocks.
The main caveat is that institutional ownership changes may be delayed or temporary and should be interpreted alongside other indicators and market conditions. The article recommends considering company fundamentals and industry data and adjusting the approach with risk management. It reports no backtest or outcome data, so it offers a screening concept rather than evidence that the conditions predict returns. Its examples also use varying interpretations of turnover and amplitude, making precise definitions important before implementation.
Key ideas
- The screen combines amplitude above 1, prior-day actual turnover from 3% to 28%, and rising institutional ownership.
- The conditions aim to reflect price fluctuation, trading activity, and changes in institutional positions.
- Institutional ownership changes may be time-sensitive and should be assessed with other information.
- The article suggests adding fundamental and industry analysis and managing risk.
- No performance evidence is provided, and the examples leave some metric definitions unclear.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.