A Chinese Equity Strategy Using Moving Average Crossovers and PE Ranking

Summary

This Chinese equity strategy screens for stocks whose opening price is above the previous close and whose five-day closing-price average is above its ten-day average. It ranks qualifying candidates by price-to-earnings ratio in ascending order and selects the leading names for purchase at the next open. After entry, a bearish crossover, with the five-day average below the ten-day average, triggers a sale at the next open. The stated process removes special-treatment and suspended stocks, excludes the Beijing exchange, and applies listing-age and share-price filters.

The article specifies a backtest period, portfolio size, initial capital, and holding settings, but provides no actual return, risk, or benchmark results in the text. It also mentions ordering signals by market capitalization, which sits alongside the PE ranking rule without fully clarifying how the rankings interact. These details and the use of next-open execution should be checked in any reproduction; the document alone does not establish that the strategy is robust or tradable after costs.

Key ideas

• The entry screen combines a positive opening gap with a five-day average above a ten-day average.
• Candidates are ranked by PE, with the stated selection buying at the next open.
• A reversal of the moving average relationship triggers an exit at the next open.
• The workflow excludes several stock categories and applies age and price filters.
• The document gives backtest settings but no performance statistics.

Tags

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