Chinese Stock Screen Using Moving Averages, Volume Ratio, and Limit Filters

Summary

This Chinese stock screening example combines three conditions: the 20-day moving average must exceed the 120-day average, the previous session must not have closed at the daily price limit, and candidates are ranked by volume ratio. The document interprets the moving-average comparison as an uptrend filter and the volume ratio as a proxy for trading intensity. It also suggests adding MACD, RSI, trading volume, or turnover filters to refine selection.

The post provides no backtest, performance figures, or empirical support for the proposed rationale. Its sample code is incomplete and does not consistently implement the stated moving-average condition, so the screen should be treated as an illustrative rule set rather than a validated strategy. It also gives only a brief, qualitative discussion of risks, including the possibility that weak inflows or a fragile longer-term trend could undermine the selection logic.

Key ideas

• The screen requires the 20-day moving average to be above the 120-day moving average.
• It excludes stocks that closed at the daily price limit in the prior session.
• It ranks remaining candidates by volume ratio as a proxy for trading intensity.
• The author proposes adding other technical indicators and liquidity filters, but supplies no performance evidence.

Tags

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