Stock Screening with Range, Two-Day High, and Moving Average Filters

Summary

This stock-selection screen combines three conditions: daily range as a percentage of the prior close above a threshold, the current high equal to the highest high over the current and previous day, and the 20-day moving average above the 120-day moving average. Together, these rules seek stocks showing recent price movement, a short-term high, and a shorter moving average above a longer one.

The document cautions that this technical screen omits company, industry, and other market information, and may favor recent price strength while missing companies with stronger fundamentals but weaker charts. It suggests adding financial, industry, fundamental, and risk-control measures, but does not specify how to define or test them. The formulas and sample code outline the screen rather than establish its performance; no backtest results, transaction costs, or portfolio rules are provided.

Key ideas

• The screen requires range above a threshold, a two-day high, and a rising moving-average relationship.
• The 20-day average must exceed the 120-day average.
• The document warns that technical filters alone omit company and industry information.
• Suggested additions include financial, fundamental, industry, and risk-control criteria.
• No performance evidence or detailed portfolio construction rules are supplied.

Tags

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