A Chinese Stock Screen Combining Moving-Average Trend, Turnover, and Range
Summary
This post outlines a Chinese equities screening rule that combines a short-versus-long moving-average trend filter with trading activity and daily price range. It selects stocks whose twenty-day average is above the 120-day average, whose amount traded exceeds a stated threshold, and whose high-low range relative to the prior close exceeds a stated threshold. The post describes these conditions as a way to find active, volatile stocks with an upward trend. It also provides indicator-formula and Python examples for applying related filters, including turnover and trading amount checks.
The article acknowledges that the screen uses technical and activity measures alone and does not assess company fundamentals or broader market conditions. It recommends adding fundamental scoring and considering macroeconomic context, but supplies no testing results or evidence that the screen predicts returns. The prose refers to ranking by large-order net flow, while the provided formula and Python example instead operationalize trading amount and turnover. That difference means the examples do not fully reproduce every stated selection condition, and the rule should be treated as a screening sketch rather than a validated strategy.
Key ideas
- The screen requires the twenty-day moving average to exceed the 120-day average.
- It combines the trend filter with trading-activity and daily-range thresholds.
- The examples use trading amount or turnover as activity proxies, rather than consistently implementing the stated large-order net-flow ranking.
- The post warns that technical filters omit company fundamentals and macroeconomic conditions.
- No backtest or performance evidence is supplied.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.