Screening Stocks with Weekly Moving-Average Crosses and Prior Limit-Ups

Summary

This Chinese stock-screening example combines three filters: daily amplitude above 1%, a weekly five-period moving average crossing above the ten-period average, and at least two limit-up sessions within 500 days. It presents the approach as a way to find stocks with stronger price action and recent popularity. The document also outlines related calculations and an implementation example using market data, including a basic exclusion of some listing boards.

The method is a simple momentum-oriented screen rather than a complete trading system: it does not specify entry timing, exits, position sizing, or portfolio construction. The author notes that the focus on popular stocks overlooks company fundamentals and value, and may respond poorly to sudden market events. Suggested refinements include using turnover as a heat measure and adding fundamental criteria. No backtest results or performance evidence are provided, and the example’s formulas and stated weekly condition should be checked for consistency before use.

Key ideas

• The screen requires daily amplitude above 1% and at least two limit-up sessions during the prior 500 days.
• It uses a weekly five-period moving average crossing above the ten-period average as a trend filter.
• The method aims to combine price movement with a proxy for market attention.
• Its focus on recent popularity leaves fundamentals and value outside the selection process.
• The document provides no backtest evidence and warns that sudden events can make the screen slow to adapt.

Tags

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