A Chinese Stock Screen Using Range, 10-Day Moving Average, and Turnover

Summary

This stock-selection method combines three daily conditions: prior-session amplitude above 1%, an opening price within 5% of the 10-day moving average, and prior-day turnover above 8%. It is intended to find shares with notable price movement, an opening near a short-term trend reference, and active trading. The document gives indicator formulas and example implementations for screening stocks.

The rationale is that larger ranges may offer more opportunity, proximity to the moving average may indicate relative trend stability, and higher turnover may reflect active participation. These are proposed interpretations rather than demonstrated results: no backtest, benchmark, or performance evidence is provided. The article cautions that historical volatility may not persist and that screening rules can omit relevant stocks. It suggests considering sector and market conditions, testing alternative moving-average windows, and updating indicators as conditions change. The screen is a simple candidate filter and does not specify entry timing, exits, or risk controls.

Key ideas

• The screen requires prior-session amplitude above 1%, an opening within 5% of the 10-day average, and prior-day turnover above 8%.
• The article treats amplitude as a proxy for potential price movement and turnover as a sign of market activity.
• It provides formula examples but does not report backtest or live-trading evidence.
• Sector conditions, market style, macro factors, and alternative averaging windows may affect results.
• The rules do not define position sizing, entry execution, or exit management.

Tags

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