Stock Screening with Turnover, Recent Returns, and Opening Auction Returns

Summary

This stock selection template filters for turnover between 3% and 12%, a positive return over the prior ten days that remains below 35%, and an opening auction return between -2% and 5%. It describes turnover as a measure of trading activity and uses the recent return and auction move to constrain momentum and entry conditions. The document includes a screening formula and a Python example that fetches stock data and ranks selected names, but reports no backtest results or evidence that the thresholds improve returns.

The author notes that these three inputs alone may not capture a company's condition or the broader market. The proposed next step is to consider fundamentals and industry conditions alongside the price and turnover filters. The example code appears to calculate a mean of daily percentage changes for the ten-day condition, which may differ from a compounded ten-day return, and the stated auction-return thresholds may depend on how the data source represents percentages. The rules are best understood as an initial screen, not a complete strategy.

Key ideas

• The screen restricts turnover to a specified interval and requires a positive but bounded ten-day move.
• It limits the opening auction return to a range intended to avoid extreme opening moves.
• The document provides formula and data-fetching examples but no performance evaluation.
• Fundamental and industry analysis are suggested as additional selection inputs.
• The implementation details may not exactly match the stated return definitions.

Tags

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