A Stock Screen Using Weekly Moving Average Crossovers and Intraday Volatility
Summary
This article proposes a short-term Chinese equity screen combining a daily amplitude threshold, a weekly moving-average crossover, exclusion of special-treatment stocks, and selection before 10 a.m. It describes the weekly five-period average crossing above the ten-period average as a trend filter and adds a volume comparison intended to identify candidates for a limit-up style approach. Formula and Python examples illustrate how such filters might be assembled, though the examples mix data conventions and contain implementation details that would need checking before use.
The article gives no backtest results or evidence that the screen predicts returns. It acknowledges that technical-only selection can miss company fundamentals, that excluding special-treatment stocks may also remove candidates, and that technical patterns may lose effectiveness. It recommends considering fundamentals, industry themes, and broader market conditions, then validating and adapting the rules. The method is best read as an illustrative screening recipe rather than a complete trading system; it does not specify portfolio sizing, exits, transaction costs, or out-of-sample performance.
Key ideas
- The screen combines daily amplitude, a weekly moving-average crossover, and exclusion of special-treatment stocks.
- It proposes selecting candidates before 10 a.m. and includes a volume surge condition associated with a limit-up approach.
- The article frames the setup as short-term technical screening rather than a fully specified trading system.
- It warns that technical filters may ignore fundamentals and can lose effectiveness as market conditions change.
- Validation should include market context, fundamentals, sizing, exits, and trading costs.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.