Chinese Stock Momentum Screen Using Moving-Average Alignment and Limit-Ups

Summary

This article presents a Chinese equity screen combining three conditions: at least five overlapping moving averages, more than two limit-up sessions within ten days, and a rising 30-day average. It interprets clustered averages as short- and medium-term alignment, repeated limit-ups as evidence of attention and buying interest, and the rising average as a positive longer-term trend.

The document provides illustrative Python functions for moving averages, Bollinger Bands, and RSI, alongside a filter that also accepts ordered averages in either direction or extreme RSI readings. Those extra branches do not directly encode all three stated selection rules, so the implementation and written strategy are not fully aligned. No performance evidence is presented. The author cautions that market conditions can change and that the screen cannot predict future returns; company earnings and financial health are suggested as additional filters.

Key ideas

• The stated screen requires five or more overlapping moving averages, multiple limit-up sessions in a ten-day window, and a rising 30-day average.
• The article treats moving-average clustering, limit-ups, and the longer average as signs of alignment, attention, and trend.
• The sample code introduces additional conditions, including ordered averages and RSI extremes, that do not clearly match the stated screen.
• The document provides no backtest evidence and warns that short- and medium-term signals may fail as market conditions change.

Tags

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