Chinese Stock Screen Using Moving Averages, Float Value, and Capital Inflows

Summary

This note begins with a screen requiring today’s position-increase ratio to exceed 5%, circulating market value between 50 and 100 billion yuan, and the 20-day moving average above the 120-day moving average. It interprets these filters as signs of recent buying, a mid-sized tradable float, and stronger short-term than long-term price action. Its suggested revisions broaden the market-value range to 50–500 billion yuan and change the moving-average comparison to 20 days versus 60 days, while retaining the capital-flow threshold.

The article identifies limits in using a single day’s flow reading, an arbitrary capitalization band, and a short-term trend comparison. Its code is only a TODO-filled sketch, and the proposed thresholds are not backed by a backtest or other performance evidence. It gives no precise definition of the position-increase ratio or rules for handling data quality, so these elements would need to be specified before testing the screen.

Key ideas

• The initial screen combines a greater-than-5% position-increase ratio with a 50–100 billion yuan float value band.
• It requires the 20-day moving average to exceed the 120-day average.
• A proposed revision widens the capitalization band and compares the 20-day average with the 60-day average.
• Daily capital flows can be temporary, and moving averages reflect only selected historical horizons.
• The example code leaves the key calculations unimplemented, and no performance results are reported.

Tags

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