A technical deep dive into reconciling macro weekly trend benchmarks with granular daily price bars, avoiding look-ahead repainting, and isolating high-probability setups.
Screening across multiple time horizons represents one of the most common pitfalls in quantitative scanning architecture. When a filter evaluates weekly moving averages on daily securities, it must handle incomplete calendar bars with precision. An active trading week contains incomplete price information between Monday and Thursday, which can cause screening formulas to fluctuate erratically if based on unclosed weekly bars.
This case demonstrates how to design a deterministic condition stack that references locked prior-week indicators (W1.1) alongside real-time daily closing criteria. Applying this tiered separation eliminates mid-week false breakouts, stabilizes candidate watchlists, and ensures that tactical daily setups align with persistent weekly capital flows.
The multi-timeframe engine first applies strict baseline trading volume and minimum price thresholds. Without this step, stocks with thin liquidity generate distorted moving average slopes on weekly charts where single block trades skew entire bars.
The algorithm tests that the previous completed week closed above both its 10-week and 30-week simple moving averages. It also checks that the 10-week moving average has maintained an upward slope over the last three completed weekly bars, establishing an undisputed medium-term uptrend.
Once the weekly trend passes inspection, daily criteria isolate orderly consolidation patterns. The daily close must sit within 3.5% of its 20-day moving average, with 14-day average true range showing sequential compression compared to the 50-day average.
Survived candidates undergo a final categorical filter that removes companies scheduled to report corporate earnings within seven calendar days. This step ensures that technical tightness reflects organic market equilibrium rather than artificial pre-earnings holding patterns.
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Weekly Moving Average Filters Applied to Daily Universes
Our editorial desk discusses educational screening logic. It does not provide securities recommendations or trade signals.