A Stock Screen Combining Daily Range and Moving Average Trend

Summary

The document presents a stock selection screen using three price conditions: daily range relative to the prior close, price above a five-day moving average, and a rising thirty-day average. It interprets the range condition as evidence of price movement and the moving average conditions as signs of short-term strength and an upward trend. Formula examples are provided for screening, though the examples differ in how the moving averages are calculated and express the range threshold in different forms.

The author cautions that this price-based screen ignores company fundamentals and may miss attractive growth companies or select weak candidates. Suggested refinements include adding momentum indicators, reviewing financial strength and valuation, and considering longer-term price behavior and macroeconomic conditions. No backtest results, selection universe, holding period, transaction costs, or evidence of returns are supplied, so the stated rationale should not be read as proof of predictive performance.

Key ideas

• The screen combines daily price range, price above a short moving average, and an upward longer moving average.
• The document interprets these conditions as volatility and price trend filters.
• It recommends adding momentum indicators and fundamental analysis as possible refinements.
• The screen is short-term and omits performance evidence, trading costs, and portfolio rules.

Tags

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