A-Share Screen Combining Moving-Average Clustering and Limit-Up History
Summary
This proposed A-share screen looks for stocks with at least five moving averages clustered together and at least two limit-up sessions within the prior 500 days, while excluding Beijing listings. The article interprets clustered averages as a sign of relatively stable price movement and the limit-up history as evidence of strong past market performance. It also mentions market capitalization, valuation, more historical data, and additional indicators as possible refinements.
No backtest results, performance statistics, or operational definition of moving-average clustering are provided. The sample Python code does not clearly implement the stated screen: it calculates a single moving average and compares values at different lookback points, rather than measuring whether five averages converge or counting limit-up events. The article also cautions that market changes and company-specific events can undermine results, and that suitability depends on investor risk tolerance. The method is best understood as a screening proposal requiring precise signal definitions, data validation, and empirical testing.
Key ideas
- The proposed screen combines five-or-more clustered moving averages with at least two limit-up sessions in a 500-day period.
- It excludes Beijing listings.
- The article associates average clustering with stable prices and limit-up history with strong past performance, without presenting supporting tests.
- The example code does not clearly measure moving-average clustering or count limit-up events.
- Market shifts, company events, and investor risk tolerance can affect the screen’s usefulness.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.