Stock Screening with Turnover, Falling Closes, Volume, and a Gap Up

Summary

This screen selects stocks with turnover between 3% and 12%, three consecutive declining closes, current volume above 10,000 lots, and an opening price above the previous close. The article presents these filters as a combination of price action, trading activity, and an opening gap that may reflect market expectations. It includes example formula and Python references, though their implementation details do not fully align with the prose: the formula uses a high-open condition differently from the stated prior-close comparison, and the Python example does not clearly implement every filter.

The author notes that technical filters alone omit company fundamentals and industry characteristics, which may make results unstable. Suggested refinements include adding fundamental, industry, and more detailed sentiment or capital-flow factors. The document gives no backtest or return evidence, and its code examples contain gaps and inconsistencies, so the selection rule is not fully validated or reproducible as written.

Key ideas

• The stated screen combines a turnover range of 3% to 12% with three consecutive declining closes.
• It also requires current volume above 10,000 lots and an opening price above the prior close.
• The article interprets the opening gap as a possible sign of market expectations.
• It cautions that technical filters omit fundamental and industry information.
• The code examples are incomplete or inconsistent, and the document provides no backtest results.

Tags

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