A-Share Stock Selection with Moving-Average Alignment and Valuation Filters

Summary

This document outlines a Chinese A-share stock screen combining price trends and valuation. It selects Shenzhen main-board stocks with price-to-earnings ratios from 0 to 29.01 and price-to-book ratios from 0 to 3.11, requires the 30-day moving average to be rising, and looks for alignment among the 5-, 10-, 20-, 60-, and 120-day moving averages. The source describes this alignment as a stability condition, then combines it with the valuation and trend filters.

The document offers a rationale for the conditions and warns that a screen cannot ensure favorable returns or capture every promising stock. It notes that the approach omits company financial health and industry conditions, and suggests adding measures such as return on equity, market capitalization, and sector filters. It provides no backtest results, portfolio construction rules, or precise definition of how much overlap qualifies as moving-average alignment. The accompanying code excerpt is incomplete, so the screen cannot be reproduced from that excerpt alone.

Key ideas

• The screen combines aligned 5-, 10-, 20-, 60-, and 120-day moving averages with a rising 30-day average.
• It limits candidates to Shenzhen main-board stocks within stated price-to-earnings and price-to-book ranges.
• The source presents moving-average alignment as a stability filter and the rising average as a trend filter.
• It cautions that the screen excludes company and industry information and cannot guarantee performance.
• No backtest evidence or complete implementation is provided.

Tags

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