Stock Screening by Turnover, Buy-Side Volume, and Price

Summary

The post describes a stock filter using three conditions: turnover between 3% and 12%, external trading volume divided by internal trading volume above 1.3, and a share price above 18.5. It treats turnover as a measure of trading activity and the volume ratio as an indication of stronger buying interest. The post also suggests adding financial statement measures and valuation ratios such as price-to-earnings and price-to-book to broaden the analysis.

It includes a SQL-style selection example and a Python function that applies the conditions to the latest row for each stock. The written description and examples differ slightly in their boundary handling: the prose uses an inclusive turnover range, while the Python comparisons are strict. There is no backtest, market context, or evidence that the screen produces returns. The post cautions that market movements can affect results and that the filters may exclude other potentially attractive stocks.

Key ideas

• The proposed screen combines a turnover range, a minimum external-to-internal volume ratio, and a minimum share price.
• The post interprets turnover and the volume ratio as measures of activity and buying interest.
• It suggests adding fundamental and valuation measures to complement the trading filters.
• The SQL-style and Python examples differ on whether turnover boundaries are included.
• No performance evidence is provided, and the author notes that market moves may undermine the screen.

Tags

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