Stock Screening with Turnover and Buy-Side Volume Filters
Summary
The document describes an equity screening rule that combines current turnover, the ratio of outside to inside trading volume, and the previous day’s actual turnover. The stated thresholds are 3% to 12% for current turnover, a volume ratio above 1.3, and 3% to 28% for prior actual turnover. It presents the rule as a way to focus on active stocks with stronger apparent buying activity, and includes example implementations for a stock screener and Python.
The article gives no historical returns, benchmark comparison, or out-of-sample evidence for the filter. It cautions that the conditions involve judgment, that prior-day actual turnover may behave differently across market settings, and that combining several filters can leave few candidates. It suggests adding market and fundamental factors, but does not specify or test those additions. The Python example also adds a stock-code restriction, so its output may not match the broader screening rule exactly.
Key ideas
- The screen requires current turnover between 3% and 12%.\nIt also requires outside volume to exceed inside volume by a ratio greater than 1.3.\nPrior-day actual turnover must fall between 3% and 28%.\nCombining several filters can reduce the number of eligible stocks.\nThe document offers no performance evidence for the proposed selection rule.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.