Chinese Stock Screen Using Range, Recent Returns, and Moving Averages

Summary

The document outlines a Chinese equity screening rule that selects stocks with daily high-low range above one percent of the open, a positive but less than 35 percent return over ten days, and a 20-day simple moving average above the 120-day average. It interprets the range condition as a volatility filter, the bounded return as a way to avoid the strongest recent run-ups, and the moving-average relationship as evidence of an upward trend. A sample ranking sorts qualifying names by a heat or popularity measure.

The article provides example screening expressions in two environments, but no historical performance, benchmark comparison, transaction costs, or portfolio construction rules. It warns that technical filters can miss fundamentals and that event-driven price moves may distort the signal. It suggests combining the screen with company and market analysis; the stated thresholds and ranking should therefore be treated as a starting filter rather than a validated standalone strategy.

Key ideas

• The screen combines a daily range threshold, a bounded ten-day return, and a moving-average trend condition.
• The 20-day average must exceed the 120-day average to qualify a stock.
• Qualifying stocks may be ordered by a popularity or heat measure.
• The document cautions that technical screening alone can overlook fundamentals and event risk.
• No performance evidence or rules for execution and portfolio sizing are supplied.

Tags

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