A Chinese Stock Screen Combining Intraday Filters and Moving-Average Trend

Summary

This stock-selection example combines an amplitude threshold, exclusion of special-treatment stocks, a selection time before 10 a.m., a five-day limit-up-related condition, and a 20-day moving average above the 120-day average. The stated rationale for the moving-average filter is to favor a longer-term upward trend rather than relying only on short-term speculation.

The article describes the conditions and provides reference calculations for amplitude and moving averages, but it reports no backtest, return series, or comparison with a benchmark. Its Python example operationalizes the filters, though the five-day closing-price-high condition is only a simplified proxy for the named limit-up method, and the exact meaning of that method is not explained. The author notes that technical filters can omit useful information or select unsuitable stocks, and that moving-average periods affect results. Combining technical and fundamental measures is suggested, but no validated improvement or optimized parameter set is supplied.

Key ideas

• The screen selects non-ST stocks with amplitude above the stated threshold before 10 a.m.
• It adds a five-day price condition associated with a limit-up method.
• The 20-day moving average must be above the 120-day moving average.
• The longer moving average is presented as a way to emphasize trend over short-term speculation.
• The document provides no performance evidence and warns of missed or false selections.

Tags

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