Screening Stocks by Intraday Range, Turnover, and Five-Day Trend

Summary

This stock selection rule filters for equities whose daily high-low range exceeds 1%, whose turnover is greater than 2% and less than 9%, and whose closing price is above its five-day moving average. The document presents the combination as a way to find actively traded stocks with short-term upward price behavior. It includes formula and Python examples for applying the conditions, though the Python calculation of turnover from volume and shares may not match the stated turnover measure, and its range check is not expressed as a percentage in the same way as the formula.

The discussion notes that moving averages can lag and that technical filters may miss fundamental, policy, or broader market influences. It suggests adding other technical measures and contextual factors, but supplies no backtest or performance evidence. The rules therefore describe a screening template, not a validated strategy, and their data definitions should be checked before use.

Key ideas

• The screen requires a daily range above 1%, turnover between 2% and 9%, and a close above the five-day moving average.
• The stated aim is to combine activity and short-term trend conditions.
• Moving averages may react slowly to rapid market changes.
• Technical-only filters can omit fundamental and policy information.
• The examples contain possible mismatches in how turnover and range are computed, and no performance evidence is reported.

Tags

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