Turnover Volatility Strategy with Market and Stock Exit Rules

Summary

This brief strategy note describes a stock-selection approach based on the standard deviation of turnover, paired with market-level and position-level exits. It says to liquidate all holdings after the broad market falls 4% over five consecutive days, and to close each individual stock position after it rises 5% or falls 2%. The turnover measure is identified as the strategy’s base, but the document does not explain how it is calculated or used to enter positions.

The note provides no backtest, performance data, universe definition, or implementation details for the rules. The stated thresholds therefore describe a proposed risk-control scheme rather than evidence of effectiveness. The market trigger’s reference point and the mechanics for handling gaps, transaction costs, and simultaneous exit signals are also unspecified.

Key ideas

• The stock-selection approach is based on the standard deviation of turnover.
• Liquidate all positions when the broad market declines 4% across five consecutive days.
• Close an individual stock position after a 5% gain or a 2% loss.
• The note gives no backtest or details about entries, execution, or threshold calculation.

Tags

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