Stock Screening with Weekly Moving Average Crossovers and Bid-Ask Volume

Summary

This equity screen looks for stocks with daily amplitude above 1, a weekly 5-period moving average crossing above the 10-period average, and first-level bid volume greater than first-level ask volume. The stated rationale is that the amplitude condition selects stocks with movement, the weekly crossover indicates a possible trend shift, and the order-book volume comparison suggests stronger buying pressure. The document includes formula and Python examples intended to implement the filters, as well as a suggestion to sort selected shares by market value.

No backtest results or evidence of predictive performance are reported. The author notes that the rules omit company fundamentals and industry conditions, and that strict or simplistic filters may reduce the number of candidates or encourage short holding periods and frequent trading. The accompanying code should be treated as illustrative: its daily moving-average comparison does not clearly match the stated weekly crossover rule. The document recommends adding fundamental and industry factors and tuning thresholds to the market and stock characteristics.

Key ideas

• The screen combines daily amplitude, a weekly 5-over-10 moving-average crossover, and bid volume above ask volume.
• The crossover is intended to identify a possible change in trend, while the volume comparison is treated as a buying-pressure signal.
• The document provides formula and Python examples but no performance evaluation.
• It warns that the screen omits fundamentals and may produce few candidates or frequent turnover.

Tags

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