A Stock Screen Combining Price Range, Market Value Share, and Moving Averages

Summary

This article describes an equities screen built from three conditions: price amplitude above a threshold, circulating market value as a share of total market value within a specified range, and the 20-day moving average above the 120-day average. It frames these as filters for volatility, concentration, and short-term trend. The article also proposes a revised version with a narrower amplitude band, a different concentration range, and the 20-day average compared with the 60-day average, plus optional fundamental and technical inputs.

The evidence is an explanation of the screening rationale and illustrative formula and Python examples; it reports no backtest results or measured returns. The examples are not fully consistent with the stated rules, including differences in price-amplitude calculation, moving-average period, and exclusions. The author notes that a small set of technical conditions can omit fundamentals, narrow the candidate pool, and produce mistaken signals, and suggests broader research and portfolio diversification.

Key ideas

• The initial screen combines price amplitude, market value concentration, and a 20-day versus 120-day moving-average comparison.
• The article interprets the moving-average condition as a short-term trend filter.
• Its proposed revision changes the amplitude band, concentration range, and longer moving-average period.
• The code examples do not consistently implement the prose description, and no performance results are presented.
• The article recommends considering fundamental research and portfolio diversification to address screening limitations.

Tags

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