Chinese Stock Screen Using Amplitude, Ten-Day Average, and Weekly MA Crossover

Summary

The document proposes screening Chinese stocks for daily amplitude above 1%, an opening price near the ten-day moving average, and a weekly five-period moving average crossing above the ten-period average. It interprets larger amplitude as evidence of short-term movement, an opening price near the average as a pullback condition, and the weekly crossover as a sign of an upward trend. The example expressions use a band around the ten-day average and combine the three filters.

The article characterizes the crossover as a potentially late, trend-chasing signal and warns that qualifying stocks may still lack upside potential or undergo a correction. It recommends adding other indicators and risk controls. No backtest, sample, or return evidence is given. The code examples are illustrative, and their calculations do not consistently distinguish weekly data from daily data, so the intended weekly crossover would need to be implemented with correctly aggregated weekly prices before evaluating the screen.

Key ideas

• The screen combines a minimum daily amplitude, an opening price near the ten-day average, and a moving-average crossover.
• The crossover condition is intended to capture an upward trend on weekly data.
• The article warns that a moving-average crossover can be late and may precede a pullback.
• Additional indicators and risk controls are suggested, but no performance evidence is presented.
• The example calculations should be checked to ensure the crossover uses weekly data.

Tags

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