Stock Screening with Range, Turnover-Volume Ratio, and Auction Value

Summary

This proposed stock screen requires daily amplitude above 1 and a product of prior-day turnover and the ratio of today’s auction volume to the previous day’s volume between 0.5 and 2. It then ranks candidates by auction transaction value and selects the top five. The rationale is to combine price movement with trading activity and liquidity. The article provides no indicator formula and its Python example does not clearly implement the stated turnover-volume product, so the operational rules are ambiguous.

The author notes that the approach omits company fundamentals and other technical analysis, and that market, policy, or company events may undermine the signals. Ranking by auction value may also reveal or affect trading activity. Suggested extensions include financial quality measures, market sentiment, dynamic thresholds, and deeper study of both short- and longer-term liquidity. No performance results or backtest evidence are reported, so the stated selection logic should be treated as a proposal rather than a validated strategy.

Key ideas

• The proposed filter combines amplitude above 1 with a turnover and auction-volume ratio.
• It ranks eligible stocks by auction transaction value and chooses five.
• The sample code does not clearly match the stated selection formula.
• The document highlights missing fundamental factors, event risk, and liquidity concerns.

Tags

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