Equity Screening with Turnover, Prior-Day Leaderboard Activity, and the Five-Day Average

Summary

This note describes a stock screen combining daily turnover between 3% and 12%, appearance on the prior day’s trading leaderboard, and a closing price above its five-day moving average. The proposed logic aims to find liquid stocks that have attracted attention and remain above a short-term trend measure. The article also provides example implementations in two trading environments, including a Python filter.

The rationale is that leaderboard activity may signal investor attention and a close above the moving average may indicate near-term strength. No performance results or backtest evidence are presented. The article cautions that the screen omits company fundamentals and that a short moving-average condition cannot ensure lasting appreciation; prices may retreat. It suggests adding profitability, growth, valuation, and further technical measures, as well as risk controls, before relying on the screen.

Key ideas

• The screen requires turnover from 3% to 12%, prior-day leaderboard appearance, and a close above the five-day moving average.
• Leaderboard activity is treated as a signal of investor attention, while the moving-average filter represents short-term trend.
• The document gives example filters but reports no backtest or performance evidence.
• The screen omits fundamentals, and its technical conditions cannot prevent price declines.

Tags

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