Stock Screening with Weekly Moving Average Crossovers and Auction Value

Summary

This post describes a Chinese equity screen combining three conditions: daily amplitude above a threshold, a weekly five-period moving average crossing above the ten-period average, and ranking by the day’s opening auction value. It proposes selecting the top-ranked names, using price range as a volatility filter, the moving-average crossover as a trend signal, and auction turnover as a proxy for investor attention.

The post provides formula references and sample Python code, but it does not present a backtest, performance statistics, or a clear operational evaluation. Its code appears to mix daily and weekly calculations and may not faithfully implement the stated weekly crossover or auction-value ranking. The author notes that the screen omits fundamental analysis and may capture false popularity, and suggests adding broader market or fundamental indicators. The method is therefore a screening idea, not evidence of a validated strategy.

Key ideas

• The screen combines a price-amplitude threshold, a weekly moving-average bullish crossover, and opening-auction value ranking.
• The ranking step is intended to favor stocks attracting greater market attention.
• The post supplies formulas and sample code but no backtest results.
• The author warns that the approach ignores fundamentals and can select temporarily popular stocks.

Tags

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