Combining Turnover, Ten-Day Returns, and a Weekly Moving-Average Cross

Summary

This stock-selection proposal combines turnover between 3% and 12%, a positive ten-day gain below 35%, and a weekly close crossing above its 30-week moving average. The turnover band is intended to select actively traded shares, the return filter limits recent performance, and the moving-average cross serves as a trend signal. The document includes an indicator-formula example and a Python illustration, but neither establishes that the screen is profitable or predictive. The code’s data fields and calculations are not fully consistent with the stated conditions, so it should not be treated as a validated implementation.

The author notes that a recent moving-average cross can be affected by changing market conditions and describes the approach as more suited to steadier, longer-horizon investing than short-term trading. Possible extensions include adding volume-price and fundamental measures. Those additions and a long-term investing approach are suggestions, not evaluated components of a defined strategy. No backtest results, transaction-cost analysis, or risk-adjusted performance evidence are provided.

Key ideas

• The proposed screen combines turnover of 3%–12%, a positive ten-day gain below 35%, and a weekly close crossing above its 30-week average.
• The moving-average cross is used as a trend filter, while turnover and recent return constrain the candidate set.
• The example code may not implement every stated condition consistently.
• The document suggests adding volume-price and fundamental criteria but provides no test results.

Tags

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