Selecting Stocks with Moving Average Crossovers and Turnover Filters

Summary

This stock selection idea combines a price amplitude threshold, three moving average crossovers, and a minimum trading value on the previous day. The stated rationale is that crossover signals identify technical strength, while a turnover value above the specified threshold may screen out less active or illiquid stocks. The document refers to three moving averages but does not fully specify their periods in the main description; its formula uses configurable periods.

It offers indicator formulas and an illustrative screening implementation, but no historical backtest or performance evidence. The implementation's conditions do not clearly establish simultaneous crossovers, and it uses current data fields to approximate a rule that includes previous-day turnover. The author also notes that high turnover can cause potential stocks to be missed and that wide price swings increase risk. Market, industry, fundamental, and technical context may be added, but no method for combining them is provided.

Key ideas

• The screen combines price amplitude, three moving average crossover signals, and a previous-day trading value threshold.
• The turnover filter is intended to favor more active stocks and reduce exposure to less liquid names.
• The moving average periods are configurable, so the signal definition needs to be specified before implementation.
• The document gives no backtest results, and its example code may not faithfully implement every stated condition.
• The author identifies missed opportunities and larger price swings as risks.

Tags

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