Chinese Stock Screen Using Price, Volatility, and Moving Average Trend

Summary

This document presents a simple Chinese equity screen that combines a low share price, daily amplitude above 1, and a rising trend defined by the 20-day moving average being above the 120-day moving average. The long and short moving averages are intended to identify stocks whose recent prices are stronger than their longer-term average. The document also proposes adding valuation or profitability measures and combining the moving-average rule with other indicators.

It includes formula and Python examples, but reports no backtest, return figures, or comparative evidence. The implementation is inconsistent with parts of the stated rule: the code checks the daily low below 12 rather than the closing price, and neither example clearly applies the amplitude threshold. The accompanying discussion flags missing fundamental filters and the risk that a trend rule may react slowly when market conditions change. The screen is therefore a candidate-generation rule, not evidence of a profitable trading system; its thresholds, data timing, and execution assumptions would need independent evaluation.

Key ideas

• The proposed screen requires a 20-day moving average above the 120-day moving average.
• It also specifies a share price below 12 and amplitude above 1.
• The moving-average condition is used as a basic indicator of an upward trend.
• The supplied code does not consistently implement the price and amplitude criteria.
• The document offers no backtest or evidence of realized performance.

Tags

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