Equity Screening with Turnover, Ten-Day Average, and Institutional Flow

Summary

This stock selection method combines three conditions: turnover between 3% and 12%, an opening price near the ten-day moving average, and positive institutional activity. Its example implementation also requires the close to exceed the previous close, making the screen partly a short-term price momentum filter. The opening-price band is defined as within 5% of the ten-day average close.

The document explains the intended rationale as combining trading activity, price position, and institutional buying interest. It warns that institutional flow estimates may be inaccurate, that the screen omits fundamental analysis, and that relying heavily on technical patterns can lead to overfitting. It recommends pairing the screen with other methods and considering company fundamentals. No historical performance, benchmark, or validation results are provided, so the described conditions should be treated as a screening recipe rather than evidence of an effective strategy.

Key ideas

• The screen selects stocks with turnover from 3% to 12%.
• The opening price must be within 5% of the ten-day average closing price.
• Positive institutional activity is included as a proxy for buying interest.
• The example formula also requires the current close to exceed the previous close.
• The document flags measurement error, omitted fundamentals, and overfitting as risks.

Tags

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