Chinese Stock Screen Using Range, Turnover, Auction Volume, and Moving Averages

Summary

The post describes a Chinese equity selection rule combining price range, trading activity, and trend. It selects stocks with an amplitude threshold, a ratio formed from prior turnover and the current auction volume relative to prior volume within a stated band, and a 20-day moving average above the 120-day average. The longer and shorter averages are intended to favor stocks with an established upward trend, while the activity filters seek meaningful price movement and liquidity.

The post warns that moving averages can respond poorly to changing market conditions and that unusual conditions may produce false positives. It suggests adding other technical measures or financial characteristics as possible refinements. However, the supplied examples do not cleanly implement the prose: the Python uses volume proxies and computes the moving averages differently from the stated rule, while the formula reference also differs in its volume condition. No backtest evidence or verified performance is provided, so the screen’s results require careful validation.

Key ideas

• The stated screen combines price amplitude, a turnover and auction-volume ratio, and a short-term average above a longer-term average.
• The moving average condition is intended to select stocks with a sustained upward trend.
• The post cautions that changing markets can make the screen generate false positives or exclude candidates.
• The sample formula and Python implementation differ from parts of the written selection logic, so implementation should be checked before use.
• No backtest results are supplied to establish the screen’s effectiveness.

Tags

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