Stock Screen Using Price Range, Volatility, and a Weekly Moving Average Cross

Summary

The document proposes a stock screen combining three conditions: price amplitude above a threshold, a positive but limited ten day return, and a weekly price cross above the 30 week moving average. It presents volatility as a way to find active stocks, the return band as a filter for stocks that have risen without becoming excessively extended, and the moving average cross as a trend signal. Example Python logic also filters by circulating market value and ranks candidates by a large order flow measure, although these extra steps are not part of the headline screen.

The post provides rationale but no performance results, transaction cost estimates, or validation showing that the conditions predict future returns. Its weekly signal implementation and daily price series are not clearly reconciled, so the timing and data frequency need careful review before use. It flags dependence on long history and broader market or company context, and suggests adding other indicators, fundamentals, or machine learning. These are proposals, not demonstrated improvements; position sizing and holding period also remain unspecified.

Key ideas

• The proposed screen combines price amplitude, a bounded positive ten day return, and a weekly cross above the 30 week moving average.
• The author interprets amplitude as a volatility filter and the moving average cross as evidence of an upward trend.
• The example code adds market capitalization filters and ranks stocks by a large order flow measure.
• The document gives no backtest or live trading evidence for the screening rules.
• The weekly signal and daily series in the example require clarification, and position sizing and holding time are left open.

Tags

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