Stock Screening by Price Amplitude, Moving-Average Divergence, and Turnover

Summary

This post proposes screening stocks for price amplitude above 1, upward-diverging moving averages, and previous-day turnover above 8%. It frames amplitude and moving-average behavior as measures of recent price action and turnover as a gauge of market activity. The article includes formula and Python examples for calculating these conditions, but does not present a backtest or evidence that the screen improves returns.

The author acknowledges that the rule omits company fundamentals such as earnings and valuation, along with other factors such as free-float market capitalization. A single prior-day turnover reading can also be distorted by sharp market moves. Suggested extensions include adding fundamental filters and evaluating turnover over a more suitable window. The code is presented as a reference, and the post cautions that implementation depends on investor circumstances and market conditions. The screen is a candidate selection filter rather than a complete trading strategy, with no entry, exit, or portfolio-risk framework.

Key ideas

• The proposed screen combines amplitude above 1, upward-moving-average divergence, and prior-day turnover above 8%.
• The conditions use recent price movement and turnover as stock-selection inputs.
• The article includes implementation examples but no reported backtest results.
• Fundamental information, market capitalization, and noisy single-day turnover are identified as limitations.
• The screen does not define trade exits, portfolio construction, or risk controls.

Tags

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