Stock Screening with Daily Range, Weekly Moving-Average Cross, and Market Value

Summary

This stock screen combines a daily price-range condition, a moving-average trend signal, and a minimum market-value filter. It seeks shares whose daily high-low range exceeds 1% of the previous close, whose five-period average crosses above the ten-period average on weekly data, and whose stated scale exceeds 200 million. The article frames the range as a way to find more active stocks, the crossover as a trend cue, and the size filter as a way to exclude very small companies.

It provides formulas and a sample implementation, but no backtest or evidence of returns. The example code uses daily moving averages despite the stated weekly crossover condition, and its market-value field and threshold units may need careful checking against the data provider. The post also does not specify how signals translate into entries, exits, or portfolio weights. It advises adjusting thresholds to market conditions and possibly adding turnover or capital-flow filters; these remain suggestions rather than validated improvements.

Key ideas

• The screen combines a daily range above 1%, a five-over-ten moving-average crossover, and a stated minimum size of 200 million.
• The proposed rationale links range to activity, the crossover to trend, and size to excluding very small firms.
• The sample implementation appears to use daily averages although the rule is described as weekly.
• The post provides no backtest or return evidence.
• Additional filters and threshold adjustments are suggested but not evaluated.

Tags

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