Chinese Stock Screen for Rising Lows, Auction Value, and Trend Filters

Summary

This document describes a Chinese equity screening strategy that looks for stocks with amplitude above 1, rising lows, and high auction trading value, initially selecting the top five by that value. Its expanded rules also require the 20-day moving average to exceed the 250-day average, exclude ST and *ST shares, and use a 30-day moving average or an 8% decline as stop conditions. The article includes example indicator and Python implementations, though some formula and selection details are not clearly specified.

The rationale is to combine short-term price activity and trading interest with a broad trend filter. The author warns that the screen relies heavily on trading behavior and short-term sentiment while omitting fundamentals, and suggests adding valuation, growth, industry, and capital-flow information. No backtest results or evidence of returns are presented, so the rules are an illustrative screening proposal rather than proof of predictive performance. Implementation details should be checked before use, especially the interpretation of rising lows and the auction-value ranking.

Key ideas

• The initial screen combines amplitude above 1, rising lows, and ranking by auction trading value.
• The expanded rules add a moving-average trend filter and remove ST and *ST stocks.
• The proposed exit conditions refer to the 30-day average and a decline exceeding 8%.
• The article acknowledges that the screen omits company fundamentals and offers no performance evidence.

Tags

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