Stock Screening with Price Range, Turnover, and a Moving Average

Summary

The document describes a stock screen combining daily price range, recent turnover, and a moving-average filter. Its initial rule calls for amplitude above 1, prior-day actual turnover between 3% and 28%, and a share price above the 250-day moving average. The explanation presents these conditions as a way to find actively traded shares with an upward longer-term trend. Later, however, the stated final rule switches to a 20-day moving average, and the sample code uses that shorter average as well.

The post offers formula and Python examples, but no historical test, benchmark, or return and risk statistics. The sample calculations also do not clearly match the described turnover measure or the timing of the prior-day condition, so implementation details need verification. The author notes that relying on technical filters may miss growth stocks or overlook company fundamentals, and suggests adding fundamental, volume-price, and multi-horizon trend measures. The screen is therefore a rough research template, not an established trading system.

Key ideas

• The proposed screen combines price amplitude, a turnover range, and a moving-average trend filter.
• The document conflicts on whether the moving average should span 250 days or 20 days.
• Its sample formulas do not clearly implement every stated condition or timing convention.
• No backtest or performance evidence is supplied.
• The author suggests adding fundamental and multi-period indicators to broaden the analysis.

Tags

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