A Gap-Up and Moving-Average Screen Ranked by Low P/E

Summary

This strategy selects stocks that open above the previous close and have a five-day closing-price average above the ten-day average. Among qualifying stocks, it ranks by price-to-earnings ratio in ascending order and chooses the first ten; purchases are scheduled for the next open. A held position is sold at the next open if its five-day average falls below its ten-day average.

The document also outlines an implementation workflow: define a stock universe and backtest period, calculate entry and exit signals, remove records with missing data, and manage holdings and cash. It proposes allocating available cash equally across new positions, using round-lot quantities, and configuring fees and slippage in the simulator. The material explains construction rather than presenting performance evidence. It gives no backtest results, and does not discuss additional safeguards such as portfolio-wide exposure limits or how ties and unavailable opening prices are handled.

Key ideas

• Entry requires both a positive opening gap versus the previous close and a five-day average above the ten-day average.
• Qualifying stocks are ranked by ascending price-to-earnings ratio, with the first ten selected.
• Orders are scheduled for the next market open, and the moving-average crossover condition triggers exits.
• The implementation outline covers signal extraction, missing-data removal, cash updates, equal allocation, fees, and slippage.
• The document describes a backtest setup but supplies no performance evidence.

Tags

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