A Chinese Equity Screen Combining Moving-Average Clustering and Limit-Ups

Summary

This Chinese equity screening proposal combines moving-average clustering with recent and historical limit-up activity. Its initial description looks for overlap among the 5-, 10-, 20-, 60-, and 120-day averages, more than two limit-up days in the last ten sessions, and at least two in the past 500 sessions. The article then proposes a revised screen: at least four of those averages clustered, three limit-up days in ten sessions, and two in 500 sessions. It interprets these conditions as signs of price stability and strong market attention or upward momentum.

The text offers no backtest results or measured evidence that the conditions predict future returns. It notes that weak overall markets, low investor attention, and sharp price fluctuations can undermine the screen. The accompanying code reference does not clearly implement the described limits or moving-average overlap logic, so it should not be treated as a verified implementation. The proposed parameter changes are suggestions, not validated improvements.

Key ideas

• The screen combines clustering among five moving averages with recent and longer-term limit-up counts.
• The revised criteria call for four clustered averages, three limit-up sessions in ten days, and two in 500 days.
• The author interprets the conditions as indicators of price stability and market attention.
• The article warns that weak markets and volatile price action can cause the screen to fail.
• No performance evidence is provided, and the sample code does not clearly match the stated rules.

Tags

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