A Chinese A-Share Screen Combining Price Range and Moving Averages
Summary
This stock screen selects Chinese A-shares whose daily high-low range exceeds a threshold, excludes Beijing-listed shares, and requires the 20-day moving average to be above the 120-day average. The longer-term trend filter is paired with a short-term measure of price movement. The article also proposes adding a minimum market capitalization and limiting recent turnover as further filters, with illustrative formula and Python references.
The document offers no backtest, portfolio returns, or evidence that these conditions predict performance. It flags dependence on technical indicators, the possibility of a small candidate list, and sensitivity to changing market conditions. Its descriptions of the range threshold are inconsistent: the initial screen says greater than one, while the formula and Python example use different percentage thresholds. The turnover rule is also not described identically across the prose and example, so implementations would need careful reconciliation before evaluation.
Key ideas
- The screen combines a daily high-low range condition with a 20-day average above a 120-day average.
- It excludes Beijing-listed A-shares.
- Suggested additions include a market-capitalization floor and a cap on recent turnover.
- The article warns that technical-only selection can omit fundamental information and yield few candidates.
- Thresholds differ between the prose and code references, so the screen requires clarification before testing.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.