A Chinese Stock Screen Combining Five-Day Highs and a Weekly Trend Filter

Summary

This document describes a Chinese equity screen that combines price activity and trend conditions. It looks for stocks with daily amplitude above 1%, excludes special-treatment stocks, applies a five-session closing-high rule described as a limit-up method, and requires the weekly price average to cross above its 30-week average. The stated selection window is before 10 a.m. The article also gives indicator and Python examples, though their calculations do not consistently match the prose: the examples use different amplitude and moving-average comparisons, and the timing condition is not implemented.

The rationale is that the weekly average adds a longer-term trend filter to short-term activity and price strength. The article provides no backtest, performance figures, or evidence that these conditions predict returns. It cautions that the screen relies heavily on market activity and price trends while omitting company fundamentals, and suggests considering industry, financial, management, volume, and other technical measures. Any use would require checking the definitions and validating the rules on appropriate historical data.

Key ideas

• The screen combines a daily amplitude threshold, a non-ST filter, a five-session high rule, and a weekly moving-average condition.
• The article presents the weekly trend condition as a way to account for longer-term price direction.
• Its code examples do not fully align with the written rules, so the implementation needs reconciliation.
• The screen omits fundamental and business factors and is not supported by reported performance evidence.
• The author suggests adding company, industry, volume, or other technical filters.

Tags

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