Selecting Stocks by Auction Amount, Range, and a Weekly Moving-Average Cross

Summary

The post outlines a stock screen combining three conditions: an amplitude threshold, a top-five ranking by the day’s auction amount, and a weekly price crossing above its 30-week moving average. It frames the cross as a way to identify an upward trend and emphasizes stocks with notable price movement and auction activity. The page includes example formula and Python-style snippets, but the code appears illustrative and depends on platform-specific fields and functions.

The post cautions that the screen focuses heavily on technical signals and short-term movement while omitting company fundamentals. It also notes that frequent rotation may raise trading costs, and suggests adding measures such as valuation or profitability and considering investor flows. No backtest, return data, execution assumptions, or evidence of predictive performance is presented, so the proposed conditions should be treated as a screening idea rather than a validated strategy.

Key ideas

• The screen combines price amplitude, auction-amount ranking, and a weekly moving-average crossover.
• The moving-average condition is intended to indicate an upward trend.
• The author warns that technical-only selection overlooks company fundamentals.
• Frequent stock rotation may increase trading costs.
• The post provides no backtest or performance evidence.

Tags

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