A-Share Screen Combining Moving Averages and Buying Activity

Summary

This post outlines a stock screen using an increase-in-position ratio above 5%, a close above the prior day’s low, and a moving-average trend filter. The rationale is that rising reported buying activity and a recovery above the previous session’s low may indicate improving demand, while a faster average above a slower one is intended to identify an upward trend. The article includes example calculations and code, but the descriptions conflict: the heading and code use the 20-day average above the 120-day average, while the final written rule says the 20-day average should exceed the 30-day average.

No backtest results, return data, or comparison are presented. The post notes that buying activity can reverse and that a price rise may reflect only a temporary shift in sentiment. It suggests adding indicators and other time periods, without testing whether they improve the screen. The buying-activity measure is not fully specified, and the conflicting average periods make the intended rule uncertain.

Key ideas

• The screen combines an increase-in-position ratio above 5% with a close above the prior day’s low.
• A moving-average comparison is intended to filter for an upward trend.
• The heading and code specify a 20-day versus 120-day comparison, but the final rule says 20-day versus 30-day.
• The post provides no backtest evidence and notes that buying flows and price rebounds can be temporary.

Tags

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