Chinese Stock Screen: Volatility, Turnover, and the 10-Day Moving Average

Summary

The document describes a Chinese equity screening rule combining daily price range, turnover, and the opening price relative to the 10-day moving average. It seeks stocks with a price range above 1%, turnover above 2% and no more than 9%, and an open near the moving average. The accompanying indicator and Python examples translate those conditions into screening logic, although the Python sample uses an approximate band around the average and shows specific historical data dates.

The post frames the filters as a way to find volatile, actively traded stocks near a short-term trend reference. It gives no backtest, performance evidence, or selection results. The author notes that the screen omits other considerations, including fundamentals, and that multiple filters may leave too few candidates. Suggested refinements include combining technical and fundamental measures and adjusting the screening timing; these suggestions are not evaluated in the document.

Key ideas

• The screen combines a price range threshold, a bounded turnover range, and an opening price near the 10-day moving average.
• The moving average condition is intended to select stocks around a short-term trend reference.
• The examples express the screen in indicator syntax and a Python workflow.
• The post provides no performance testing or evidence that the filters predict returns.
• The author notes that omitted fundamentals and strict combined filters may limit the candidate set.

Tags

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