Chinese Stock Screen Using Weekly Moving Average Crossovers and Opening Gaps

Summary

This Chinese stock screen combines three conditions: daily trading amplitude above 1, a weekly five-period moving average crossing above the ten-period average, and an opening price change between -2% and 5% relative to the previous close. The article frames the weekly crossover as a bullish trend signal and the opening-change band as a way to filter stocks with extreme gaps. It includes formula and Python examples, although the Python example checks volume above 1 and calculates moving averages from daily closes, so it may not implement the stated weekly crossover or amplitude condition faithfully.

The document provides no backtest or return evidence. It notes that the screen omits company fundamentals and that a broad opening-change range can still select stocks that later fall. It suggests adding fundamental checks and narrowing the opening range. The screening conditions are therefore a candidate selection rule, not evidence of a profitable strategy; implementation details and data definitions would need validation before use.

Key ideas

• The stated screen combines trading amplitude, a weekly moving average crossover, and an opening price-change band.
• The crossover uses five- and ten-period weekly averages, while the opening move is measured against the previous close.
• The supplied Python example appears inconsistent with the stated weekly and amplitude conditions.
• The article reports no performance test and warns that fundamentals and market risks remain unaddressed.
• It recommends adding company analysis and considering a narrower opening-change range.

Tags

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