Chinese Stock Screen Using Weekly Moving-Average Crossovers and Auction Orders

Summary

This selection method looks for Chinese stocks with daily amplitude above 1%, a weekly five-period moving average crossing above the ten-period average, and more than 7 million shares of combined large and very large buy orders during the auction. The document frames the filters as a combination of price variability, weekly trend, and buying pressure. It also advises incorporating fundamental analysis and other technical measures because the method relies heavily on order flow and lacks a long-term fundamental screen.

The note defines a simple moving average and describes large auction orders by order price and size. It includes a Python sketch, but the moving-average logic shown does not clearly implement the stated crossover, and the order-flow data source and aggregation are not fully specified. No backtest or performance evidence is included, so the proposed filters should be treated as an outline rather than a validated trading strategy.

Key ideas

• The screen combines amplitude above 1% with a weekly five-period average crossing above the ten-period average.
• It requires auction buy orders in the large and very large categories to exceed 7 million shares combined.
• The method combines trend and order-flow signals but does not include a developed fundamental analysis.
• The code sketch has unclear crossover logic and incomplete order-flow specifications, and no test results are reported.

Tags

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