Screening Stocks for Turnover, Recent Limit-Ups, and Moving Average Alignment

Summary

This post describes an equity screen requiring turnover between 3% and 12%, at least one limit-up event within the prior 25 days, and alignment among at least five moving averages. The stated rationale is to find actively traded stocks with recent strong price moves and a configuration that may indicate a sustained upward trend. The post includes formula and Python examples, though the code’s calculations and data handling are not fully consistent with the headline criteria.

The author warns that recent limit-up moves may reflect excessive speculation and that screening without company fundamentals can miss material risks. It suggests adding market sentiment and fundamental or asset-related measures, or using multivariate approaches such as principal component analysis and random forests. No backtest or outcome data is supplied, so the stated rules and rationale are not evidence that the screen predicts future returns.

Key ideas

• The screen combines turnover in a stated range with a limit-up event in the prior 25 days and at least five aligned moving averages.
• The intended logic pairs trading activity and recent price strength with possible trend persistence.
• The post flags speculative price surges and missing fundamental analysis as key limitations.
• It provides example implementations but no performance results, and the examples do not clearly match every stated condition.

Tags

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