Chinese Stock Screen Using Range, Ten-Day Average, and Positive Earnings

Summary

This Chinese stock-screening example selects equities with a daily range above 1%, an opening price near the ten-day moving average, and a positive price-to-earnings ratio. The accompanying explanation interprets these conditions as a way to find volatile stocks trading near a short-term average while restricting candidates to profitable companies. Example formulas implement the filters, with the opening price constrained to within five percent of the moving average.

The author recommends adding measures such as price-to-book value and earnings growth, along with industry analysis and checks on company quality. The document offers no historical test, portfolio construction rules, or evidence that the screen predicts gains. Its rationale that range may signal a new trend and proximity to the average may indicate consolidation is asserted rather than demonstrated. The formulas also differ in their timing and data details, so implementation would require careful validation before use.

Key ideas

• The screen combines a daily range threshold, proximity of the open to a ten-day average, and positive PE.
• The example defines proximity as an opening price within five percent of the average.
• The author suggests adding valuation, earnings growth, industry, and company-quality checks.
• No backtest or evidence of predictive performance is provided.

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