Chinese Stock Screen Using Range, Weekly MA Cross, and Turnover

Summary

The proposed Chinese equity screen combines a minimum daily amplitude, a weekly five-period moving average crossing above a ten-period average, and prior-day trading value above a stated threshold. The article frames the range and moving-average conditions as technical filters and the turnover condition as a liquidity or activity filter. It notes that the rule is simple and suggests adding fundamental, market, or sector information, or exploring machine-learning methods, to broaden the selection process.

The implementation details do not fully match the stated screen: the formulas use close-price averages without clearly calculating a weekly crossover, compare averages rather than identifying a crossover event, and refer inconsistently to volume and trading value. The sample code also uses a daily history and does not clearly evaluate each stock's latest row. No performance results or validation are provided, so the screen should be treated as a proposal requiring clarification and testing.

Key ideas

• The screen combines price amplitude, a moving-average condition, and prior-day trading activity.
• The written rule specifies a weekly five-period average crossing above a ten-period average.
• The article identifies simplicity and omitted market or fundamental factors as limitations.
• The formulas and sample code do not clearly implement the stated weekly crossover or turnover condition.
• No backtest results or evidence of predictive performance are reported.

Tags

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