Chinese Stock Screen Using Price Range and Moving Averages

Summary

This stock selection method looks for shares with daily price amplitude above 1%, a closing or average price above the five day moving average, and an opening price near the ten day moving average. The rationale is that larger price movement may offer trading opportunities, while price above the short moving average may indicate an upward trend. An opening price near the ten day average is presented as a stability filter. The document provides a formula example and Python-style screening reference, but reports no backtest or performance evidence.

The approach is technically driven and may miss company fundamentals. Large ranges and gaps between opening and closing prices can increase risk, while short chart intervals may contain noise and reversals. The author suggests combining the screen with other indicators and fundamental analysis, and managing exposure with position limits and stop losses. The meaning of “near” is implemented as a band around the ten day average in the example, so that parameter and the amplitude threshold should be treated as choices requiring validation.

Key ideas

• The screen seeks stocks with daily amplitude above 1% and price above the five day moving average.
• It also requires the opening price to fall near the ten day moving average.
• The document gives implementation examples but no performance results.
• Large price ranges, opening to closing gaps, and noisy short intervals are cited as risks.
• The author recommends adding fundamental or technical filters and using position controls and stop losses.

Tags

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