A Chinese Equity Screen Using Price Range, Volume, and Moving Averages

Summary

This Chinese-language post describes a stock selection screen using price movement, trading activity, and a short moving-average trend condition. It selects shares whose daily high-low amplitude exceeds a threshold, whose prior turnover adjusted by the ratio of current auction volume to prior volume falls within a stated band, and whose average price is above a five-day moving average. The accompanying Python example also applies market-capitalization filters and excludes some stock categories, then returns selected shares up to a requested count.

The post frames the signals as a way to identify price direction and potential candidates, but supplies no backtest, return figures, or comparison with a benchmark. It acknowledges that a technical-only screen can miss company fundamentals and macroeconomic, policy, or event risks. It suggests adding financial quality measures, adapting thresholds to market conditions, and studying liquidity. The prose and code do not align perfectly in their descriptions of the volume measure, and the example’s data handling and selection choices would need validation before use.

Key ideas

• The screen combines daily price amplitude, a turnover and auction-volume measure, and a moving-average condition.
• The example applies additional market-capitalization filters and excludes certain stock categories.
• The post offers no performance evidence for the selection rules.
• The author notes that technical signals omit fundamental, macroeconomic, and event information.
• Liquidity analysis and dynamic thresholds are proposed as possible refinements.

Tags

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