A Chinese Stock Screen Using Moving Averages, Drawdown, and Liquidity

Summary

This stock selection method turns a discretionary approach into a set of technical and liquidity filters, followed by periodic rebalancing. It looks for prices mostly above long-term moving averages, favorable short-term moving-average conditions, and moving averages that are rising or aligned in a bullish order. It also limits recent drawdown, requires the current price to remain near its 250-day high, and screens on daily turnover.

The document also outlines a broad strategy development sequence: identify potentially useful factors, define rules, test them on historical data, validate with simulated or live forward trading, and continue refining. These are proposed screening conditions and a process summary, not evidence of profitability. The source gives no market, sample period, transaction costs, portfolio construction details, or comparative results, and the criteria would need precise implementation and independent testing before use.

Key ideas

• The method selects stocks through price and moving-average trend filters before periodic rebalancing.
• It checks whether prices remain above intermediate and long-term averages over recent observations.
• Drawdown and proximity to the 250-day high are used to favor stocks with stronger recent price behavior.
• A daily turnover threshold is included as a liquidity screen.
• The suggested development process moves from factor selection to backtesting, forward validation, and refinement.

Tags

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