Weekly Moving Average Crossover Stock Screening with a Daily Return Filter

Summary

This stock selection rule combines a volatility screen, a weekly moving average crossover, and a daily price change range. It selects shares with amplitude above 1, a weekly five period moving average crossing the ten period average, and a daily return between -5% and 2.6%. The accompanying sample code also describes filtering candidate stocks and ordering them by circulating market capitalization.

The text presents the crossover as a sign of an upward trend and the return range as a way to avoid extreme daily moves. It supplies indicator logic and sample implementations, but no historical performance results or backtest evidence. Its stated limitations are that it relies on technical signals, omits company fundamentals, and may produce false selections; it suggests narrowing the return range and combining technical and fundamental measures. The sample formulas and code do not fully align on their moving average and amplitude definitions, so implementation details should be checked before use.

Key ideas

• The screen combines amplitude above 1 with a weekly five period and ten period moving average crossover.
• It limits the daily price change to between -5% and 2.6%.
• The example code filters candidates and sorts them by circulating market capitalization.
• The document offers no backtest results and warns that fundamentals are omitted.
• Its formula descriptions and sample code differ in some indicator details.

Tags

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