Screening Stocks by Weekly Moving Average Crossover and Turnover

Summary

This Chinese stock-selection rule combines three conditions: daily amplitude above a threshold, a weekly five-period moving average crossing above the ten-period average, and yesterday’s turnover rate above a stated level. The crossover is intended to identify an upward trend, while the amplitude and turnover filters favor stocks with notable price movement and trading activity. The article also gives formulas for calculating moving averages, turnover, and amplitude, along with example selection logic.

The document provides no reported backtest, measured returns, or comparison with a benchmark. It notes that the screen can miss stocks with investment potential and does not account for broader market conditions or company fundamentals. It suggests adding industry and valuation analysis or other indicators, but does not test those changes. The rule is therefore a simple technical screen whose effectiveness and risks remain unquantified.

Key ideas

• The screen combines price amplitude, a weekly moving average crossover, and prior-day turnover.
• A five-period average crossing above a ten-period average serves as its trend condition.
• Turnover is included as a liquidity filter, while amplitude selects for larger price movement.
• The article flags missing fundamental and market-context analysis as limitations.
• No empirical performance results are reported.

Tags

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