Stock Screening with Moving Average Trends and Turnover

Summary

This note describes an equity screen that ranks stocks by a capital-strength measure, such as turnover or volume ratio, and filters for turnover between 2% and 9%. It also requires the 20-day moving average to be above the 120-day moving average, using the relationship as a sign that the shorter-term trend is stronger than the longer-term trend.

The rationale is to combine trading activity with a trend filter: active stocks may offer liquidity, while the moving-average condition favors stronger recent price behavior. The note warns that capital-strength measures can mislead and that high turnover may accompany greater price swings. It suggests combining the screen with other indicators and tuning thresholds using historical data. It provides no backtest, performance results, or detailed execution rules, so the proposed filters should be treated as a screening concept rather than evidence of a profitable strategy.

Key ideas

• The screen favors stocks with relatively strong capital-flow measures and turnover between 2% and 9%.
• It requires the 20-day moving average to exceed the 120-day moving average.
• The moving-average condition is intended to identify stronger short-term than long-term price trends.
• The note cautions that flow measures may mislead and high turnover can increase price risk.
• It recommends combining indicators and testing parameter choices against historical data.

Tags

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