Chinese Stock Screen Using Daily Range, 10-Day Average, and Recent Limit-Ups

Summary

This Chinese equity screen combines three daily price conditions: a trading range greater than 1%, an opening price within 2% of the 10-day moving average, and at least one recent limit-up event. The article explains the intended rationale: a larger range may offer trading opportunities, proximity to the short moving average gives a price reference, and a recent limit-up may indicate market attention. It includes example indicator and Python implementations of the screening logic.

The article provides no backtest, performance statistics, or evidence that these conditions predict returns. It warns that stocks with recent limit-ups may be overheated, that the short lookback may miss longer-term fundamentals, and that the screen lacks comprehensive risk controls. The examples also differ in how they represent the recent limit-up condition, so an implementation would need to define and verify that rule carefully. Suggested extensions include other technical indicators and fundamental analysis, alongside adjustments to risk and trading frequency.

Key ideas

• The screen requires daily amplitude above 1% and an opening price within 2% of the 10-day moving average.
• It also requires at least one qualifying price event within the recent 20 trading days.
• The article treats a recent limit-up as a possible sign of attention while warning that it may precede a pullback.
• The source offers no performance test and notes that the simple screen omits broad risk and fundamental analysis.

Tags

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