A Chinese Stock Screen Using Trend, Size, Position Increases, and Valuation

Summary

This Chinese stock selection post proposes combining three filters: today’s position increase ratio above 5%, stock scale above 200 million, and the 20-day moving average above the 120-day moving average. The post treats the position increase ratio as a flow signal, the size threshold as a scale filter, and the moving-average comparison as an indication of an upward trend. It later adds price-to-earnings below 20 and price-to-book below 2 to the stated final screening criteria.

The discussion cautions that the combined filters could concentrate selections in particular industries or size groups, increasing portfolio volatility, and may not reflect company value during extreme markets. A Python example begins to illustrate how to calculate filters, but it is incomplete and its stated position-increase calculation is not fully explained. No backtest, results, or evidence of predictive performance is provided, so the criteria should be treated as a proposed screen rather than a validated strategy.

Key ideas

• The proposed screen requires a position-increase ratio above 5% and scale above 200 million.
• It uses the 20-day moving average being above the 120-day average as a trend filter.
• The final criteria also include price-to-earnings below 20 and price-to-book below 2.
• The post warns that combined filters may create industry or size concentration.
• Its code example is incomplete and the post provides no performance evidence.

Tags

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