A-Share Screen Using Moving Average Confluence and Opening Change

Summary

This A-share screening proposal combines three conditions: intraday amplitude above 1%, at least five overlapping moving averages, and a gain below 6% at 9:25. Its explanation treats the overlap and amplitude filters as signals of relatively stable price behavior, while the opening gain limit is intended to avoid stocks that have risen sharply before regular trading.

The document acknowledges that relying on a single pre-market time point can misrepresent prior price action and can be affected by liquidity. It suggests adding trend indicators and observations at other times. The accompanying code sketch also includes listing-age and price-range filters, then applies RSI, MACD, and stochastic conditions. However, the code shows only three moving averages while requiring five overlaps, making that implementation inconsistent with the stated rule; no backtest or evidence of profitability is supplied.

Key ideas

• The stated screen combines amplitude above 1%, at least five overlapping moving averages, and a 9:25 gain below 6%.
• The rationale is to favor relatively stable price behavior and limit exposure to sharp opening gains.
• The proposed code adds price, listing-age, RSI, MACD, and stochastic filters.
• The code defines only three moving averages despite requiring five overlaps.
• The document notes time-point and liquidity limitations and presents no performance evidence.

Tags

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