Screening Equities by Ten-Day Returns and the Five-Day Average Price

Summary

This stock-selection note proposes filtering for equities with amplitude above 1, a positive ten-day return below 35, and an average price above its five-day moving average. It frames the return band as a way to find stocks that have risen without reaching what the author considers an excessive gain, while the moving-average condition is intended to indicate short-term upward momentum.

The note cautions that the screen relies on historical prices and a short moving-average period, omitting company fundamentals and longer-term trend information. It recommends incorporating valuation measures, industry context, multiple moving-average periods, and risk controls. A Python example adds market-capitalization filtering and sorts by a capital-flow-related field, although these are not part of the stated core logic. No backtest, performance evidence, or validation of predictive value is provided.

Key ideas

• The screen requires amplitude above 1, a positive ten-day return below 35, and average price above the five-day moving average.
• The return band is intended to identify stocks with gains that have not become excessive.
• The author notes that short-term price indicators omit fundamentals and longer-term trend context.
• Suggested additions include valuation, industry information, multiple moving-average periods, and risk controls.
• The supplied code contains extra filters that are not included in the core screening description.

Tags

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