A Chinese Stock Screen Using Price Range, Moving-Average Proximity, and Volume

Summary

This post presents a Chinese equity screening rule that combines daily price amplitude, the opening price’s proximity to a ten-day moving average, and a volume ratio bounded between stated thresholds. The accompanying examples describe how to calculate those filters and intersect their results to form a candidate list. The stated rationale is to find stocks with notable price movement, an opening price near a recent average, and active but not exceptionally high trading volume.

The post offers no backtest, return series, benchmark, or evidence that the screen predicts profitable trades. Its explanations are heuristic: amplitude is treated as opportunity, moving-average proximity as relative stability, and volume as attention. It cautions that historical behavior may not persist and that indicator choices are subjective. It suggests considering industry, market style, macro conditions, and alternative moving-average windows, while combining the screen with fundamentals, market style, and liquidity. The screen is therefore a candidate-generation idea, not a complete strategy or validated investment method.

Key ideas

• The screen combines price amplitude, opening price relative to a ten-day average, and a bounded volume ratio.
• The post interprets these conditions as signals of movement, relative stability, and trading activity.
• Its examples show how to calculate each filter and combine qualifying stocks.
• The post supplies no performance tests, so the proposed rationale remains unvalidated.
• It advises considering market context and other stock characteristics when refining the screen.

Tags

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