Stock Screening with Turnover, DEA Momentum, and Moving Average Alignment

Summary

This stock screen combines a turnover range of 3% to 12% with a rising DEA condition and alignment among at least five moving averages. It aims to find actively traded equities with upward momentum and a consistent trend structure. The document gives screening logic and formula examples, but the examples are not fully consistent: the prose names DEA and at least five moving averages, while the code uses moving average comparisons that do not clearly test those conditions as stated.

The article argues that the turnover filter selects stocks with trading activity and that rising DEA and moving average alignment indicate trend strength. It identifies missed opportunities as a risk because strong stocks may not meet the moving average requirement, and suggests adding indicators or relaxing the alignment threshold. It presents no backtest or performance evidence, so the proposed screen should be treated as an unvalidated selection rule rather than an established strategy.

Key ideas

• The screen requires turnover between 3% and 12%, rising DEA, and alignment among at least five moving averages.
• The stated rationale combines trading activity, momentum, and trend consistency.
• The article warns that strict moving average alignment may exclude otherwise attractive stocks.
• The provided formulas and code do not align perfectly with the prose description.
• No performance results or backtest evidence are presented.

Tags

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