Chinese Stock Screen Using Volatility and Three Moving Average Crossovers
Summary
This stock-selection method filters for shares whose codes begin with 60, whose daily high-to-low range exceeds 1% of the previous close, and whose 5-, 10-, and 30-day moving averages cross upward together. The article interprets the volatility threshold as a way to find more active stocks and the simultaneous crossovers as a signal of improving trend. It supplies an indicator formula and a Python example using rolling averages.
No backtest, sample, or performance evidence is reported. The article notes that technical signals can be false, high-amplitude stocks carry greater risk, and the screen lacks fundamental analysis. It suggests adding technical and fundamental factors or using a multifactor approach, while also distinguishing stocks by market segment. The Python example checks whether the averages are ordered, which is not necessarily equivalent to detecting all three crossovers on the same date, so implementation details affect what the screen selects.
Key ideas
- The screen combines a greater-than-1% daily range with a stock-code prefix filter and three moving averages.
- It seeks simultaneous upward crosses among the 5-, 10-, and 30-day averages as a trend signal.
- The article identifies false signals, higher volatility risk, and missing fundamental information as limitations.
- Its Python example tests moving-average ordering, which may differ from detecting actual crossovers.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.