Chinese Equity Selection Using Range, Ten-Day Return, and Technical Filters

Summary

This Chinese equity screen combines three conditions: daily high-low range relative to the opening price above 1%, a ten-day return above zero and below 35%, and bullish technical filters. The accompanying Python example calculates moving averages of the high-low midpoint and retains stocks where the five-day average exceeds the ten-day average, which exceeds the twenty-day average. It also requires MACD to be above its signal line. The written description calls for three indicators to cross upward, while the code implements moving-average ordering and a MACD comparison rather than clearly detecting crossover events.

The example further filters by circulating market capitalization and sorts candidates by a large-order net-volume measure. The text frames the range and return conditions as a way to find stocks with movement and recent gains, but gives no performance results or validation. It explicitly warns that the screen uses historical prices and technical indicators without fundamentals, and that golden-cross signals can be misleading. It suggests adding fundamental measures, further signal checks, diversification, and risk controls; these suggestions are not evaluated in the document.

Key ideas

• The screen combines a minimum daily range, a bounded ten-day gain, and bullish technical conditions.
• The code checks ordered five-, ten-, and twenty-day moving averages and MACD above its signal line.
• The implementation does not clearly test three simultaneous crossover events as the prose describes.
• The example adds market-capitalization filtering and ranks candidates by a large-order net-volume measure.
• The document warns that technical-only selection can misfire and provides no backtest evidence.

Tags

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