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

Summary

This post describes a Chinese equity selection rule combining daily price amplitude, an upward-moving-average condition, and the prior day’s turnover relative to the current day’s volume. Its rationale is to identify stocks with favorable short-term price direction and trading activity. The example formula and Python sketch show how the criteria might be expressed, while also introducing a price-to-book filter not included in the rule’s summary.

The post gives no backtest, performance evidence, or precise validation of the signal. It warns that relying on a few short-term indicators can make selections vulnerable to speculative activity and noisy or flawed inputs. It suggests supplementing the screen with technical, fundamental, and flow measures, and periodically reviewing the rules. The formulas and code contain inconsistencies, including differences in the moving-average condition and turnover-volume bounds, so the implementation should be checked before use.

Key ideas

• The screen combines a price-amplitude threshold with an upward moving-average condition.
• It compares prior-day turnover with the ratio of current to prior-day volume.
• The post offers formulas and code examples but no empirical performance evidence.
• The author cautions that simple short-term signals may be distorted by noise and market speculation.
• The examples differ in their precise conditions and should be reconciled before implementation.

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