Chinese Stock Screen Using Weekly MA Crossover and Lower Lows

Summary

This Chinese stock selection note describes a screen combining daily price movement with a weekly moving average signal. It selects stocks whose intraday high-to-low range exceeds 1%, whose weekly five-period moving average crosses above the ten-period average, and whose current low is below the prior day's low. The accompanying example calculates moving averages from weekly closes and also includes a positive-close condition, so its implementation does not exactly match every part of the stated screen.

The rationale is to combine activity, trend direction, and a recent lower low when looking for speculative stocks. The note gives no backtest, performance statistics, or evidence that these conditions predict returns. It characterizes the approach as risky and lacking long-term fundamental analysis, and suggests supplementing technical filters with fundamental measures. Data timing and the precise definition of the crossover and range should also be checked before implementation.

Key ideas

• The screen combines an intraday range threshold with a weekly five-period versus ten-period moving average crossover.
• It requires the current day's low to fall below the prior day's low.
• The example code adds a positive-close condition that is absent from the prose description.
• The note presents the method as speculative and provides no performance evidence.
• It recommends adding fundamental or other technical filters.

Tags

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