Stock Screen Combining Turnover, the 10-Day Average, and Rising Moving Averages

Summary

This stock-selection rule looks for daily turnover between 3% and 12%, an opening price within 5% of the 10-day moving average, and a bullish moving-average configuration. Specifically, the 5-day average must have crossed above the 10-day average, while the 10-day average is above the 20-day average. The prior-day comparison in the formula seeks to capture the recent shift in the shorter average relative to the 10-day line. The article presents these conditions as a combination of trading activity and price trend.

The author warns that technical filters can encourage chasing short-term moves and omit company fundamentals. Suggested additions include valuation measures and more involved screening models. Formula and tabular-data examples are provided, but the article reports no backtest, transaction costs, or evidence that the rules forecast returns. The formula also excludes a market type, a platform-specific condition not explained in the discussion. Results would depend on instrument universe, data definitions, and execution assumptions.

Key ideas

• The screen requires turnover between 3% and 12% and an opening price within 5% of the 10-day average.
• It looks for the 5-day average to cross above the 10-day average, with the 10-day average above the 20-day average.
• The conditions combine trading activity with a short-term upward price configuration.
• The article warns that technical filters may chase short-term moves and omit fundamental quality.
• No backtest or predictive-performance evidence is provided.

Tags

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