Chinese Stock Screen with Ten-Day Gains and Long-Term Trend Filtering

Summary

This document describes a Chinese stock screen that requires amplitude above 1, a positive ten-day return below 35%, and the previous day’s price above its 250-day moving average. The rationale is to combine notable price movement, a moderate recent gain, and evidence of a longer-term upward trend. Its Python example also applies a circulating-market-value range and sorts candidates by a measure involving price change and large-order net volume, adding filters beyond the headline criteria.

The article provides an implementation sketch but no backtest or performance results. The code’s use of prior prices and moving averages may require careful alignment, and the added market-value and ranking conditions mean the example is not just the three-part screen described in the text. The article cautions that simple technical and trading-data filters can mislead and recommends further technical, fundamental, sector, and risk analysis. Those suggestions are not tested in the document, so the screen’s reliability and generality remain unknown.

Key ideas

• The headline screen combines amplitude above 1, a positive ten-day return below 35%, and price above the 250-day moving average.
• The Python example adds a circulating-market-value filter and a large-order-flow-based ranking.
• The article gives no backtest or measured evidence of profitability.
• The implementation’s added filters differ from the stated headline criteria.
• The document recommends further analysis and risk control but does not evaluate them.

Tags

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