Stock Selection by Moving-Average Trend, Capitalization, and Fund Flows

Summary

This proposed equity screen ranks stocks by incoming capital, then filters for larger free-float market capitalization and a rising trend in which the 20-day moving average is above the 120-day average. The article describes fund-flow measures such as northbound investment and margin-financing activity as possible ways to estimate capital strength. It further suggests selecting the top-ranked names and, as an additional refinement, favoring lower valuation measures such as price-to-earnings and price-to-book ratios.

The rationale is that stronger inflows may indicate market attention, larger capitalization may improve liquidity, and the moving-average relationship may capture an upward trend. The article notes that flows can be distorted by sentiment and policy, while price and capitalization measures remain exposed to market and sector effects. It offers no specific data source definition, complete implementation, backtest, or performance results; the proposed filters therefore need precise operational definitions and independent testing.

Key ideas

• The screen ranks equities by estimated fund inflows and filters for larger free-float market capitalization.
• It uses the 20-day average being above the 120-day average as a trend condition.
• The article proposes adding valuation filters such as price-to-earnings and price-to-book measures.
• Fund-flow estimates can be affected by market sentiment and policy, and the other filters can be affected by market and sector conditions.
• No completed backtest or performance evidence is presented.

Tags

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