Screening for High Amplitude, Turnover, and Rising Moving Averages

Summary

This proposed stock screen combines a daily high-low amplitude threshold, prior-day turnover between 3% and 28%, and an upward arrangement of the 5-, 10-, and 20-day moving averages. The short and medium averages must exceed the longer average, while the 5- and 10-day averages rise; the signal is further limited to the first day the divergence condition appears. Formula and Python examples illustrate these conditions, though the stated prior-day turnover concept and sample calculations are not consistently implemented.

The note frames amplitude and turnover as ways to select active stocks and moving-average divergence as a possible trend signal. It warns that market conditions, individual-company events, and manipulation can affect results, and that moving averages can lag or mislead. It proposes adding measures such as capital flows, market capitalization, or RSI, and adjusting moving-average settings to fit the context. No backtest or performance evidence is supplied, so this is a technical screening recipe rather than a demonstrated investment strategy.

Key ideas

• The screen combines a high-low amplitude threshold with prior-day turnover between 3% and 28%.
• It identifies an upward moving-average arrangement using 5-, 10-, and 20-day averages, with the shorter averages rising.
• The signal is intended to flag the first day the divergence condition appears.
• The author warns that moving averages may lag and that market or company events can distort the screen.
• No backtest is presented, and the sample code does not consistently implement the stated conditions.

Tags

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