Weekly Moving-Average Crossover with Amplitude and Turnover Filters
Summary
This A-share screen combines three conditions: price amplitude above 1, turnover between 2% and 9%, and a weekly five-period moving average crossing above the ten-period average. The article frames amplitude and turnover as measures of price activity and market attention, while the moving-average crossover is intended to identify an upward trend. It includes an indicator-rule example and a Python sketch for selecting candidates.
No backtest results or measured evidence are provided. The document cautions that the rules omit regulatory and sector-rotation factors, that the approach may be overfit, and that moving-average signals lag fast market changes. It recommends adding fundamental measures such as valuation ratios and establishing risk controls. The code example does not clearly implement all stated conditions consistently, so the screening description should be distinguished from that illustrative implementation.
Key ideas
- The screen requires amplitude above 1 and turnover between 2% and 9%.
- It uses a weekly five-period moving average crossing above the ten-period average as a trend signal.
- The article provides code examples but no backtest evidence.
- The author identifies lag, overfitting, and omitted market factors as limitations.
- Fundamental filters and risk controls are suggested as additions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.