Stock Screening with Price Range, Five-Day Average, and Turnover

Summary

This equity screen selects stocks whose daily high-low range exceeds a stated threshold, whose closing price is above its five-day moving average, and whose turnover rate falls between 3% and 12%. The intended combination looks for recent price movement and a price above its short-term average, while using turnover as a liquidity filter. The document supplies formula examples and outlines how to combine the conditions into a screening rule.

The source cautions that large-range stocks can carry greater risk and that low turnover can make positions harder to trade. It suggests adding other indicators and risk controls, such as stop losses, but does not define how to set them. The sample code is explicitly illustrative and may need modification; its examples also use different representations for the range threshold, and the Python illustration’s final filtering steps do not clearly apply every stated condition together. No backtest, comparison, or trading results are reported, so the screen’s effectiveness is unestablished.

Key ideas

• The screen requires a daily range above a threshold, a close above the five-day average, and turnover between 3% and 12%.
• The moving-average rule identifies price above a short-term trend reference.
• Turnover is used as a liquidity filter, while the source warns that low turnover can hinder trading.
• The sample implementations are illustrative and contain differences that require careful review.
• The document gives no backtest results or evidence of profitability.

Tags

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