Chinese Stock Screen Using Volatility, Moving Averages, and Lower Lows

Summary

This document outlines a Chinese equity screening rule that combines daily price movement with a short moving average and a lower low. The stated final criteria are amplitude above 1, the close crossing above a five-day moving average, and today’s low falling below yesterday’s low. It also gives an example implementation and describes the rule as a way to combine volatility and trend signals.

The article does not provide backtest results, trading costs, or evidence that the screen predicts returns. Its wording is inconsistent: an earlier description refers to moving averages diverging upward and a weekly average, while the final rule and formula use a five-day average and a close crossover. The sample code also depends on historical data and a particular data interface, so its details may not reproduce the stated rule reliably. The document itself cautions that the screen focuses on short-term price behavior and may overlook fundamentals, industry differences, and concentration risk.

Key ideas

• The screen combines an amplitude threshold with a close crossing above a five-day moving average.
• It also requires today’s low to be below yesterday’s low.
• The article presents the conditions as a stock selection rule rather than a complete trading system.
• No performance test or evidence of profitability is reported.
• The document recommends considering company fundamentals and diversification alongside the short-term signals.

Tags

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