Screening Stocks by Price, Daily Range, and Moving Average Trend

Summary

This note describes a simple equity screen combining daily price movement, a low share price, and a moving average trend filter. It selects stocks with an amplitude above 1%, a close below 20, and a 20-day moving average above the 120-day average. The document gives formula and Python examples for calculating those conditions and returning qualifying tickers, with volume used to order candidates in the Python example.

The long average filter is intended to favor stocks whose recent trend is stronger than their longer-term trend, while the range condition selects stocks with some daily movement. The author cautions that the screen omits company fundamentals and that moving averages can lag, especially for volatile stocks. It suggests adding volume, RSI, market conditions, industry information, and fundamental measures. The document provides no backtest or performance evidence, so the rules should be treated as screening criteria rather than a validated trading strategy.

Key ideas

• The screen requires daily amplitude above 1% and a closing price below 20.
• It selects stocks whose 20-day moving average is above the 120-day moving average.
• The moving average comparison is used as a long-term trend filter.
• The document warns that the rules omit fundamentals and may react slowly to sharp price changes.
• No backtest results are provided to establish the screen's performance.

Tags

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