Stock Screening with Triple Moving Average Crossovers and Institutional Flow

Summary

This proposed stock screen combines an amplitude threshold above 1, three moving-average crossover conditions, and a positive institutional-direction indicator. The explanation frames the moving averages as a trend filter and the institutional measure as a way to identify stocks with institutional buying. It also suggests broadening the selection process with fundamental measures and other technical or capital-flow indicators.

The post gives a formula reference and a short Python example using 5-, 10-, and 20-period moving averages alongside amplitude and DDI. However, the example checks whether the averages are ordered rather than explicitly detecting simultaneous crossovers, and it relies on fields and data behavior that are not fully specified. No backtest results, sample period, or risk-adjusted evidence are supplied. The post cautions that fundamentals are omitted and institutional data may lag, so the rule is a screening proposal rather than a validated strategy.

Key ideas

• The proposed screen combines amplitude above 1, moving-average conditions, and positive institutional direction.
• The explanation describes moving averages as a trend filter and institutional activity as a flow filter.
• The example uses 5-, 10-, and 20-period averages with an amplitude field and DDI.
• The code checks ordered moving averages, which does not necessarily match the stated simultaneous crossover rule.
• The post provides no performance evidence and notes missing fundamentals and possible lag in institutional data.

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