Stock Screening with Turnover, Seven-Day Declines, and Limit-Up Exclusion
Summary
This stock-screening rule selects shares with turnover between 3% and 12%, a seven-day falling-price pattern, and no limit-up session on the previous day. The document gives both a platform-style condition and a Python example, and explains the intended logic: combine trading activity with persistent weakness while excluding stocks that recently hit the daily price limit. It suggests that the exclusion may reduce exposure to stocks subject to speculative price battles.
No backtest, benchmark, or performance evidence is provided. The rule uses only turnover and recent price behavior, so it may select companies without regard to financial condition or business quality. The source also flags liquidity concerns, particularly where low turnover can make it difficult to move capital. It recommends adding fundamental, industry, or macroeconomic information, but does not specify how to combine those inputs or validate the resulting screen. The screening thresholds and example implementation may also require adjustment for the market and data source in use.
Key ideas
- The screen combines a turnover band with seven consecutive days of declining prices.
- It excludes stocks that were limit-up on the prior day.
- The document provides example implementations but reports no tested trading results.
- The rule omits company fundamentals and can select securities with liquidity risks.
- Additional fundamental, industry, or macroeconomic filters are suggested for further evaluation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.