A-Share Screen Using Daily Movement and Moving Average Trend

Summary

This proposed stock screen combines daily price movement, at least one year since listing, and a trend condition in which the 20-day moving average is above the 120-day average. The article treats the shorter average crossing above the longer one as evidence of an upward trend, and the movement filter as a way to find more active stocks. It suggests adding indicators such as MACD or RSI and adjusting average periods to suit market conditions.

The post includes formula and Python examples, but gives no backtest or return evidence. There is a mismatch in the movement measure: the formula and example use change in closing price, rather than the usual high-to-low definition of amplitude. The article also cautions that moving-average screens can struggle in sideways markets and become less suitable as market styles change.

Key ideas

• The screen requires a daily movement threshold, a minimum listing history, and the 20-day average above the 120-day average.
• The moving-average relationship is used as a trend filter.
• The provided movement calculation uses consecutive closing prices rather than a high-to-low range.
• No backtest or performance evidence is presented.
• The article flags sideways markets and changing market conditions as risks.

Tags

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