Screening Stocks with Moving-Average Trend and Auction Buying Flow

Summary

This stock screen combines three signals: the 20-day moving average is above the 120-day average, net buying by major participants during the opening auction is positive, and the day’s position increase ratio exceeds 5%. The article frames these as a longer-term trend filter, a measure of auction demand, and an indication of buying flow. It proposes adding price-to-earnings and price-to-book limits as fundamental filters.

The accompanying code sketch shows calculations for moving averages and proxies for buying flow, but does not implement all the stated conditions, including the opening-auction measure and valuation filters. It also gives no backtest results or precise definitions for the flow measures. The article cautions that the stock may still fall in a weak market and recommends evaluating historical win rates and drawdowns; no evidence is supplied to show that the proposed combination is profitable.

Key ideas

• The screen requires the 20-day moving average to exceed the 120-day average.
• It also selects for positive major-participant net buying during the opening auction.
• The stated position increase ratio threshold is above 5%.
• The article suggests valuation filters and historical testing of returns and drawdowns.
• The code sketch does not implement every stated condition, and no results are reported.

Tags

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