A Stock Screen Combining Daily Range and the 250-Day Moving Average

Summary

This post presents a simple stock-selection rule for Chinese equities: screen for a daily high-low range above one percent, restrict observations to 2021, and require the prior close to be above a 250-day moving average. The range condition is framed as a way to find more volatile stocks, while the moving-average condition acts as a long-term trend filter. The post provides example formulas and Python snippets for expressing the conditions.

It offers no backtest, portfolio construction method, or evidence that the screen predicts returns. The code examples also do not implement the conditions consistently: they differ in how range is measured, how the moving average is aligned, and whether the previous close or current close is compared. The author notes that technical conditions alone omit company fundamentals and sector context, and suggests combining them with other indicators or fundamental filters. The rule is best understood as an illustrative screening idea rather than a tested trading strategy.

Key ideas

• The screen combines a daily range threshold with a long-term moving-average trend condition.
• The stated selection period is 2021, and the price filter uses the previous close.
• The post provides formula and Python examples, but their condition timing and calculations differ.
• No historical performance evidence or portfolio-level trading rules are supplied.
• The author identifies missing fundamental and industry information as limitations of the screen.

Tags

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