Chinese Stock Screen for Volatility and Moving Average Trend

Summary

This Chinese stock selection example combines a price range filter, a recent large daily gain, and a moving average trend condition. Its stated screen looks for stocks with amplitude above 1, at least one daily gain of 10% or more in the last 25 sessions, and a 20-day moving average above the 120-day average. The article frames these conditions as a way to find stocks with both short-term strength and a longer upward trend. It also suggests adding fundamentals, valuation measures, volume conditions, and time horizons suited to different risk preferences.

The article provides indicator and Python examples, but they do not fully implement the written rule: the sample code compares a single day's return to 10% rather than checking a 25-session window, and its amplitude condition uses an ATR comparison. No backtest results or performance evidence are reported. The author notes that price-only filters omit company quality and valuation, and that two moving averages give a coarse view of price history. Treat the screen as an illustrative technical filter requiring specification and validation, not as evidence of a reliable strategy.

Key ideas

• The stated screen combines price amplitude, a recent daily gain of at least 10%, and a 20-day average above a 120-day average.
• The article proposes adding fundamentals, valuation, volume, and more moving average horizons.
• The sample implementations do not precisely match the written 25-session gain condition.
• The article supplies no backtest evidence, and its price-only screen can miss company and market context.

Tags

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