A Stock Screen Combining Turnover, Moving-Average Proximity, and Trend

Summary

The post describes a rules-based stock screen using three conditions: turnover between 3% and 12%, the opening price within 5% of the 10-day moving average, and the 20-day moving average above the 120-day moving average. It provides equivalent screening logic in a formula language and Python, with an additional market-type filter in both examples. The proposed combination is intended to capture trading activity, a short-term price location, and a longer-term upward trend.

The post characterizes the screen as technically driven and cautions that it may omit company financial and operating conditions. It suggests supplementing technical filters with assessment of fundamentals, competitive position, and business prospects. No backtest methodology, performance results, portfolio rules, or execution details are supplied, so the screen’s risk-adjusted value cannot be assessed from the document. The thresholds are presented as selection criteria rather than as empirically validated parameters.

Key ideas

• The screen selects stocks with turnover from 3% through 12%.
• It requires the opening price to fall within 5% of the 10-day moving average.
• It uses the 20-day moving average being above the 120-day average as a longer-term trend filter.
• The examples also restrict results by market type.
• The post warns that technical filters alone may omit important company fundamentals, and it provides no performance validation.

Tags

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