Stock Screening with Range, Turnover, and Auction Volume

Summary

The document describes a stock screen intended to find active shares that may be attracting market attention. Its stated rules require price amplitude above 1, previous-day turnover above 8%, and a product of previous-day turnover and the ratio of today’s auction volume to yesterday’s volume between 0.5 and 2. It suggests that combining turnover with auction activity may help gauge trading activity. The article provides no backtest, performance figures, or evidence that the screen predicts future returns.

The author cautions that activity-based filters can expose investors to greater market volatility and recommends checking company fundamentals after screening. It also proposes considering average price and total daily volume. The accompanying formula and Python example do not clearly implement the stated screen: their amplitude and turnover calculations appear to use different definitions or scales, and the example ranks selected shares by closing price. The article’s final description mentions adding average price and total volume but does not specify corresponding thresholds. These gaps make the rules difficult to reproduce consistently.

Key ideas

• The screen combines price amplitude, prior-day turnover, and auction volume relative to the previous day’s volume.
• It requires prior-day turnover above 8% and constrains the combined turnover and auction-volume measure to a stated range.
• The author presents the conditions as a way to find active stocks but supplies no performance evidence.
• High activity may coincide with greater volatility, and the article recommends further fundamental analysis.
• The prose, formula reference, and Python example do not define a fully consistent implementation.

Tags

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