Chinese Stock Screen Using Recent Highs and Rising Moving Averages

Summary

This Chinese equity screen combines four filters: daily amplitude above one, exclusion of ST-designated stocks, selection before 10 a.m., and a recent five-session closing high. It also requires the current close to exceed the prior five-, ten-, and twenty-session moving averages by at least two percent. The article presents indicator logic and sample Python screening code as implementation references.

Key ideas

• The screen looks for stocks with daily amplitude above one and excludes ST-designated companies.
• It requires a close at the five-session rolling high and a close at least two percent above each of three prior moving averages.
• The article describes selecting candidates before 10 a.m.
• The author warns that moving-average calculations can vary and that short-term price filters omit longer-term fundamentals.
• The article gives no backtest results or evidence that the combined rules are profitable.

Tags

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