Stock Screening with Turnover and Aggressive Trade Volume

Summary

This document presents a stock screen using turnover and the ratio of outward to inward traded volume, apparently aiming to identify stocks with active trading and greater buying-side volume. Its stated final rule combines turnover between 3% and 12%, an outward-to-inward volume ratio above 1.3, and turnover between 2% and 9%. It includes sample query and Python implementations that apply the volume ratio and turnover conditions to the latest observation.

The two turnover ranges overlap, so together they effectively narrow the stated selection to the stricter shared interval. The article gives no backtest or performance evidence, and it acknowledges that narrow criteria may reduce the number of candidates or exclude other potentially valuable stocks. The volume ratio can also be affected by market fluctuations. Any use of the screen should clarify the intended turnover bounds and validate the signal against historical data and trading costs.

Key ideas

• The screen combines turnover constraints with an outward-to-inward volume ratio above 1.3.
• The two turnover ranges in the stated rule overlap and should be reconciled before use.
• The sample code evaluates the latest turnover and volume-ratio observations.
• The article provides no performance evidence and notes that narrow filters may reduce the candidate pool.

Tags

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