Combining a Two-Day High Screen with a Turnover Range

Summary

This stock-selection post combines three market filters: price amplitude above a threshold, a session high equal to the highest high over two days, and turnover within a specified range. It presents the range and high conditions as signals of recent price strength and active trading, while using the turnover bounds to avoid both weak activity and excessive heat. Formula and pseudocode examples sketch how to calculate each condition and combine them with additional technical and fundamental filters.

The post offers no backtest results or evidence that these filters predict future returns. Its suggested technical and fundamental inputs are placeholders, so the final composite rule is not fully specified. The author notes that the screen ignores company value and growth, and that turnover can be distorted by unusual market events. It recommends adding broader factors and a mechanism to limit risk. Practical use would also require precise definitions for the data and ranking process, plus validation across periods and market conditions.

Key ideas

• The screen combines an amplitude threshold, a two-day rolling high, and a bounded turnover range.
• The turnover bounds are intended to favor active trading without selecting the most overheated stocks.
• The provided formulas illustrate the price and turnover filters, while other factors remain unspecified.
• The post gives no measured evidence that the screen improves trading results.
• Fundamental analysis and explicit risk limits are suggested to address the screen’s limitations.

Tags

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