A-Share Screening with High Range and Rising Moving Averages

Summary

This note describes a Chinese stock screen that selects shares with a large daily high–low range, excludes Beijing-listed stocks, and looks for upward separation among moving averages. It first presents the screen as a simple combination of volatility, a regional exclusion, and a technical trend condition. An expanded version adds a fundamental filter and market-trend consideration, and suggests selecting at least five stocks. Example formulas and Python-style logic illustrate how the conditions could be combined.

The document gives no backtest, performance figures, or evidence that the screen predicts returns. It also identifies key limitations: the original screen omits long-term fundamentals and the broader market direction, and relies heavily on a single technical signal. The proposed refinements are suggestions rather than validated improvements. The initial description uses an amplitude threshold above 1, while the expanded proposal and examples use a threshold above 2%; implementations should resolve that discrepancy and define the relevant data and timing conventions before use.

Key ideas

• The basic screen combines a daily price-range threshold, exclusion of Beijing-listed stocks, and upward ordering of moving averages.
• The expanded proposal adds a fundamental condition and consideration of the broader market trend.
• The document offers example formulas and Python-style logic but reports no backtest or trading results.
• The initial and expanded range thresholds differ, so the intended cutoff needs clarification.

Tags

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