Chinese Equity Screen Using Range, Ten-Day Return, and Moving Averages

Summary

This Chinese-language post presents a stock-selection screen combining three conditions: daily high-low range above 1% of the opening price, a positive ten-day return below 35%, and upward alignment among five-, ten-, and twenty-day moving averages. The moving-average condition requires the five-day average to exceed the ten-day and twenty-day averages, and the ten-day average to exceed the twenty-day average. The post includes example formulas for a Chinese trading platform and a Python-style implementation.

The accompanying rationale is that the range condition selects more active stocks, the return filter seeks stocks that have risen without excessive recent gains, and the moving-average alignment indicates short-term upward momentum. The post cautions that short-term price fluctuations can undermine the screen and that moving averages do not capture long-term direction. It recommends considering longer-term trends, other indicators, market conditions, and fundamentals. No backtest, universe definition, transaction costs, or performance evidence is provided.

Key ideas

• The screen combines a daily range threshold with a positive, capped ten-day return.
• It requires five-day, ten-day, and twenty-day moving averages to align upward.
• The post interprets the filters as activity, moderate recent gains, and short-term trend criteria.
• It warns that short-term fluctuations and moving averages’ limited horizon can weaken the screen.
• No backtest or performance evidence is reported.

Tags

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