Screening Stocks for Large Moves and a Weekly Moving Average Crossover

Summary

This stock selection approach combines a large intraday range, a recent strong daily gain, and a weekly moving average crossover. The stated screen looks for range exceeding a threshold, at least one daily rise of 10% or more during the prior 25 sessions, and the weekly five period average crossing above the ten period average. The article offers example formula and Python outlines for expressing these conditions, though some components are left as placeholders.

The accompanying discussion frames the screen as a way to find volatile, recently strong stocks whose short term trend may be improving. It cautions that the emphasis on recent strength can select speculative names and that moving averages lag. Suggested refinements include capital management and adding technical and fundamental filters, but those additions are proposed rather than tested. The examples also do not establish a backtest, specify portfolio construction or exits, or provide evidence that the screen has predictive value; readers would need to define and validate those elements before using it.

Key ideas

• The screen combines a large price range with a recent daily gain of at least 10% and a weekly moving average crossover.
• The moving average rule uses a five period average crossing above a ten period average.
• The article provides formula and Python sketches, but leaves additional technical and fundamental filters unfinished.
• The approach may favor speculative, high volatility stocks, while its moving average signal can lag.
• Risk management and out of sample testing are not detailed in the document.

Tags

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