Turnover and Moving-Average Filters for Stock Selection

Summary

The post proposes screening stocks using daily price amplitude, prior-day actual turnover between 3% and 28%, and a price above a moving average. The opening description specifies a 250-day average, while the final rule and example code use a 20-day average. The intended idea is to combine active trading with a price-trend filter, but the conflicting lookback periods leave the actual strategy definition uncertain.

The article includes sample formulas and code, but reports no backtest, benchmark, holding period, or portfolio results. The examples also raise implementation questions: the turnover calculation is not clearly equivalent to the stated actual-turnover range, and the timing of the prior-day measure is ambiguous. The author acknowledges that technical rules can miss attractive stocks and recommends considering fundamentals, volume-price measures, and multiple time horizons. These suggestions provide context for further research, but the document does not test whether they improve outcomes.

Key ideas

• The screen combines price amplitude, a turnover band, and a moving-average filter.
• The document alternates between a 250-day and a 20-day moving-average condition.
• The sample calculations leave the turnover definition and observation timing unclear.
• No performance evidence is reported, so the screen remains an unvalidated research idea.
• The author recommends supplementing technical filters with fundamentals and other time horizons.

Tags

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