A-Share Screen for Daily Range and a Rising 30-Day Moving Average

Summary

This document outlines a Chinese stock-selection screen that excludes Beijing-listed shares, selects stocks with a daily high-low range above 1%, and requires the 30-day average closing price to be rising. It gives formula and Python-style examples for expressing the filters and combining them into a candidate list. The approach pairs a short-term volatility condition with a simple trend test; it does not provide performance results or evidence that the combination predicts returns.

The accompanying discussion warns that technical filters can distract from fundamentals, that a large daily range alone does not make a stock attractive, and that a moving average can lag during sharp market changes. It suggests testing adjusted thresholds and adding other indicators or fundamental measures. The stated exclusion criteria are inconsistent: the initial rule says to exclude Beijing A-shares, while the later description also refers to excluding mainland or other regions. The examples therefore need validation against the intended universe and data conventions before use.

Key ideas

• The screen combines a daily range above 1% with a rising 30-day average closing price.
• It initially excludes Beijing-listed A-shares from the candidate universe.
• The document provides formula and Python-style examples but no backtest or return evidence.
• A wide daily range may indicate volatility without indicating investment quality.
• Moving-average signals can lag, and the article recommends combining technical and fundamental information.

Tags

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