Combining Weekly Moving Average Crossovers with Inflow and Limit-Up Filters

Summary

The proposed Chinese equity screen combines three conditions: a recent increase in reported holdings or inflow, a weekly five-period moving average crossing above the ten-period average, and at least two limit-up sessions during the past 500 days. The post interprets these as signs of capital interest, improving trend, and prior market attention. It suggests strengthening the screen with company fundamentals, profitability, turnover, and trading volume.

The post offers a conceptual rationale and sample Python, but it does not report a backtest, portfolio returns, or risk statistics. Its sample code should be treated cautiously: it does not clearly group calculations by stock, and its rolling unique-close check does not establish the stated count of limit-up sessions. The screen is therefore a hypothesis for further implementation and testing, not evidence that the filters predict gains. The author also notes that price action and flows alone can select firms with weak fundamentals or poor longer-term prospects.

Key ideas

• The screen combines a weekly moving average crossover, recent inflow, and prior limit-up activity.
• The proposed filters are intended to capture trend and market attention.
• The post recommends adding fundamental and trading-activity measures.
• The sample code does not clearly implement the stated limit-up count or per-stock calculations.
• No performance or risk results are supplied.

Tags

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