A Chinese Equity Screen Combining Range, Flows, and Moving Average Crosses
Summary
The document describes a stock screening approach that combines daily price range, a large-order net-flow ranking, and simultaneous bullish crosses among three moving averages. The example uses five-, ten-, and twenty-period averages, with the range threshold set at more than one percent of the prior close and a large-order flow threshold. Selected stocks are then sorted by turnover rate. The post frames these filters as a way to find active stocks with upward technical signals.
It also acknowledges important gaps: the screen does not fully account for company fundamentals, industry conditions, or the broader market, and selected stocks can still fall during periods of market stress. It recommends considering those wider factors, but provides no backtest, performance statistics, or detailed rules for evaluating them. The supplied code is illustrative and depends on data-provider functions; the post does not establish that the implementation or signals are reliable in live trading.
Key ideas
- Screen for stocks with a daily high-low range above a stated threshold and strong large-order net flow.
- Require bullish crosses among the five-, ten-, and twenty-period moving averages.
- Rank selected stocks by turnover rate after applying the signal conditions.
- The screen omits important fundamental, industry, and broad-market information.
- The document gives no backtest evidence for the strategy’s performance or live reliability.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.