Stock Screening with Price Range, Rounded Shape, and High Turnover
Summary
The document presents an equity screen combining daily amplitude above 1, a rounded price shape, and previous-day turnover above 8%. It says the amplitude condition is intended to find shares with meaningful trading activity but limited price fluctuation, while the rounded pattern is meant to select smoother movement. High recent turnover serves as a proxy for market activity. The document gives a formula reference using five-day highs and lows and a prior close, but does not provide backtest results or empirical support for the rationale.
It cautions that focusing on turnover can overlook technical and fundamental information, and that high turnover may reflect either buying or selling pressure. It suggests combining the screen with additional technical and fundamental factors and considering turnover over different horizons alongside price gains. The material is a proposed screening heuristic rather than a validated strategy; it does not specify position sizing, execution rules, or risk controls.
Key ideas
- The screen combines amplitude above 1 with a rounded price pattern and previous-day turnover above 8%.\nThe rounded-shape condition is described as a way to find smoother price movement.\nHigh turnover indicates activity but does not establish whether money is entering or leaving a stock.\nThe document recommends combining the screen with other technical and fundamental factors.\nNo performance evidence or portfolio rules are provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.