Stock Screening with Volatility, Turnover, and Arc Shape

Summary

The document presents an equity screening rule that combines daily price range, turnover, and an arc-shaped price condition. It describes selecting stocks with an intraday range of at least 1%, turnover above 2% and no more than 9%, and an arc measure rising relative to the prior observation. The stated rationale is to combine price movement, trading activity, and chart shape.

It provides formula and Python examples, but does not report performance tests or define the arc measure in enough detail to assess it independently. The author notes that the screen omits other technical and fundamental factors and may be sensitive to the date selected. Suggested refinements include combining it with indicators or company fundamentals and tuning the selection timing and algorithm; these are proposals rather than demonstrated improvements.

Key ideas

• The screen requires an intraday price range of at least 1% and turnover between 2% and 9%.
• It also requires an arc-shaped price condition that is rising relative to the previous observation.
• The rationale combines volatility, trading activity, and chart shape in one stock filter.
• The document provides formula and Python references but no measured performance evidence.
• It cautions that the rule omits other technical and fundamental information and may depend on timing.

Tags

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