Stock Screening with a Rising Moving-Average Trend, Turnover, and Amplitude

Summary

This document describes an equity screen requiring price amplitude above 1, turnover greater than 2% and no more than 9%, and a 20-day moving average above the 120-day average. The moving-average relationship is intended to identify stocks with a stronger intermediate trend, while amplitude and turnover impose price-activity and trading-activity filters. It includes example indicator and Python approaches, although the Python example adds extra conditions, including a price ceiling and a market restriction, that are not part of the stated screen.

The article notes that moving averages lag price changes and that macroeconomic or market factors can dominate technical signals. It recommends supplementing technical criteria with fundamental measures and considering market conditions when choosing when to apply the screen. No backtest or return evidence is offered, and the extra conditions in the code mean implementations may produce different candidate lists. The screen is therefore a heuristic for generating stocks to examine, not a demonstrated source of stable returns.

Key ideas

• The stated screen combines amplitude above 1, turnover above 2% and at most 9%, and a 20-day average above a 120-day average.
• The moving-average comparison is a lagging trend filter and may react slowly to changing prices.
• The Python example includes extra filters beyond the stated selection logic.
• The article suggests combining technical and fundamental analysis, but provides no backtest or performance results.

Tags

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