A Short-Term Stock Screen Using Range, Moving Average, and Turnover

Summary

This document describes a stock selection screen combining three conditions: prior-session price range greater than 1%, the current open within 5% of the 10-day moving average, and turnover above 60 million. It presents the conditions as indicators of recent volatility, a price near its short-term average, and trading activity. Formula and Python examples show how to intersect the three filters to identify candidates.

The screen is a selection rule, not a complete trading system: it gives no entry timing beyond the filter, exit rules, holding period, portfolio construction, or measured results. Its rationale that high turnover may reflect attention or short-term opportunity is not supported by performance data in the document. It cautions that short-term signals can distract from longer-term company value and that attention does not imply future gains. It recommends incorporating fundamental and capital-flow information, limiting position sizes, and adding risk controls, but does not specify how to implement or validate those additions.

Key ideas

• The screen requires a prior-session range above 1%, an open near the 10-day moving average, and turnover above 60 million.
• The three filters are combined to select stocks satisfying every condition.
• The document offers code examples but no backtest results or complete entry and exit plan.
• It warns that high activity and short-term price behavior do not establish durable upside.

Tags

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