A Weekly Moving-Average Cross Stock Screen with Turnover and Opening-Price Filters

Summary

This Chinese-language strategy note describes a stock screen combining turnover, the opening price relative to its 10-day moving average, and a weekly moving-average crossover. The stated criteria use turnover from 3% through 12%, an opening price within 5% of the 10-day average closing price, and a 5-period average crossing above a 10-period average. It also provides formula and Python examples for expressing those conditions.

The author frames the crossover and turnover as technical selection criteria, but supplies no historical performance results or backtest evidence. The note cautions that the screen omits sector conditions and macroeconomic policy, and that past moving-average behavior does not ensure future price movement. It suggests adding technical and fundamental variables and monitoring market conditions, though it does not test those proposed changes. The examples contain some implementation ambiguity: the prose refers to a weekly crossover, while the Python rolling averages are shown without an explicit weekly resampling step.

Key ideas

• The screen combines turnover between 3% and 12% with an opening price near the 10-day moving average.
• It selects stocks when the 5-period moving average crosses above the 10-period moving average on a weekly basis.
• The document provides formula and Python examples but no performance statistics or backtest results.
• Sector trends, macroeconomic conditions, and future uncertainty are cited as limitations.

Tags

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